I haven't read the paper, but according to the article, "The treatment, known as immunotherapy, uses the body's immune system to attack cancerous cells." Rather than trying to kill the cancerous cells, the drugs allow your body to attack the tumors.

To give some background, your own body already tries to kill cancerous cells through cytotoxic t cells. The tumors that get serious are the ones that escape the immune system. However, strengthening the immune system has its own problems, since it can attack your own cells (autoimmune diseases), or cause other problems (like Crohn's disease).

So I'd imagine the cancer cells probably won't get immunity to the drugs, but other serious side effects could come from the treatment.