Vestigal Features: Why?

You are correct. There are cells imbedded in the appendix that have an immune function. But there is no reason why these cells need to be imbedded in a narrow blind sac that is liable to infection. In fact, immune cells are embedded in the entire intestine.

I should probably have provided a reference; forgive my oversight, Gary. TalkOrigins has an essay on the vetigiality of the appendix. It has a nice description of its homologous structure to the functioning caecum of the other primates, as well as the fact that the appendix does not provide an essential immune function.