User blog comment:IamJakuhoRaikoben/Chapter 503: The Last Sight Seen, Review./@comment-84.197.239.101-20160926192137/@comment-84.197.239.101-20160927132032

If he has Magic Immunity, Gray wouldn't be able to do jack to Natsu. It is possible Zeref gave him such an OP ability, since Natsu is very dear to Zeref, thus the Killing Curse will certainly be triggered when Natsu gets close to Zeref. Such a situation would require Magic Immunity, otherwise E.N.D. would die before he even gets close to Zeref.

Unless Zeref can bring himself to see Natsu as a mere tool created for his demise, rather than a beloved brother. But i wouldn't take a chance with that if I were Zeref, as emotions tend to fluctuate.