True, but there was an idea in the whole "new treaty" system where they would have immunity, and you would have to sign an "expel diplomats from Evilstan" treaty against a realm in order for the auto-capture to start working. It was just never implemented.
No wonder Ambassador Gellin from Giblot got captured by Oritolon realm when he come to their lands, although Giblot and Oritolon does not have "expel diplomats from Evilstan" treaty at all. This does not even require normal policework on Colonies island. As soon as other Ambassador that your realm at War status with step into your realm land, he is captured by "patrol"