An Immortal in Highlander can die only if decapitated. That is their only vulnerable point in a sword fight. (I stick to the canon of the original Highlander, as in Highlander V we see immortals resurrecting after they die.)
I think it is extremely unwise not to protect the neck with any kind of armour - especially when being able to prepare for a fight. The importance of protecting the neck has been recognised by mortals - they used gorgets, aventails, bevors, etc.
Why is the use of such protection uncommon among Immortals?
In case of any inconsistencies I consider only the original (1986) movie canon.
In the original movie Immortals do not die and resurrect, they also do not lose consciousness when stabbed, impaled, drowned etc.:
- Neither Ramirez nor Kurgan lost consciousness when impaled,
- Connor walks underwater,
- Connor stabs his heart proving he is immortal to Brenda, but does not fall to the floor (he just kneels).