I tried getting some clarification on this in another thread, but it didn't go anywhere, so let's try again.
This came up during my last play through of the "Battle of Five Armies" and Bolg.
I took "immune to player card effects" to mean that cards that did direct things to him (like lowering his stats or direct damage via Gandalf or Descendant of Throndor) could not be used. Likewise, one couldn't get any affect from something like a Forest Snare on him. However, I'm not so sure about cards like Hands Upon the Bow, Great Yew Bow, or Dunhere that let you attack enemies in the staging area.
Bolg has to be damageable by attacks, or else you could never win, and those cards just let a hero make an attack. I'd say Bard's -2 Defense power couldn't be used against him, but using the Yew Bow to declare him as the target of an attack isn't the same thing as affecting him with the card. The Yew Bow is affecting Bard, Bolg is being affected by the attack.
So long as there are no Bodyguards in play, I think smacking Bolg before stage 5 is a legitimate way to go. I'd love to hear what others say on the topic though.