If you have two set (non-field) spells or traps and play AG Drill in your last slot you will only be able to target a field spell, as there is nowhere to set whatever non-field spell you would select on the field, at least until after AG Drill resolves. So really, you have to only have one or fewer set spells/traps before you activate this card, unless you want a field spell.
They're not immune, they just prevent your opponent from activate spells/traps when they attack until the end of the damage step, both things are completely different. You still can activate an e-con targeting an AG Golem at the start of your opponent's battle phase.
Good searcher but... It just wasting card slot. Not to mention the cost and requirement is kinda tricky