I'm assuming this wouldn't work the way I would hope, but if Mr Immortal is being played with a bunch of Horde tokens in a 400+ point game (so it's Epic) and he is the last non-Horde figure, would his being KOd (and putting the "Special token" on the board) end the game? I'm assuming it's like Lazarus Pit where the game would end even if he's not back on the board.

2013 rulebook page 23:

In an epic battle, if a player has only horde tokens remaining on the battlefield at the end of any turn, all of their horde tokens are immediately defeated.

Mr. Immortal's trait:

Dying is What I Do Best!: When Mr. Immortal would be KO'd, instead of being defeated remove him from the map, place a special terrain marker in the square he occupied and turn his dial to click #9. Other characters can't occupy the square with the special terrain marker. At the beginning of your turn, if Mr. Immortal is removed from the map in this way, heal him of 1 damage. When click #6 is revealed, remove the special terrain marker and place him in that square. Victory points are only awarded for Mr. Immortal if he is removed from the map at the end of the game.

From the bolded parts you can clearly see that the horde tokens would be defeated and this would lead to the game ending.

That's what I thought would happen, thanks! I really should download a copy of the PAC on my work computer to look through on my breaks to answer questions like these.