We want to stop the metastatic portion of the disease, as that is what causes death in so many cancers today. There is no cure, yet if we can stop cancers from tumor metastasis, move to a state of being under chronic care for 10+ years, I would consider this a huge step.
Vasculature in and especially around tumors is usually different. Malignant cells consume a vast amount of energy relatively speaking, and often over-express proteins that recruit blood vessels in order to feed this energy demand (VEGF is the one that is discussed the most afaik; this process is called angiogenesis). Inhibiting these proteins is a common chemotherapeutic strategy, see bevacizumab and ranibizumab. Despite this process most solid tumors are hypoxic at their centers and hypoxia-activated prodrugs that are "activated" within hypoxic environments (and toxic after activation) is yet another chemotherapeutic strategy, see evofosfamide or apaziquione.
Solid tumor penetration isn't really related to this though, it has a lot more to do with the fact that it is physically difficult for a molecule to diffuse through the many layers of cells that make up a solid tumor. When you take a drug, it generally ends up in your bloodstream and from there must diffuse through the lipid bilayers that encapsulate cells (whether they be cancer cells or not) in order to reach their target. This diffusion is a big barrier when it comes to designing drugs, because most things won't passively diffuse through lipid bilayers. A successful small-molecule drug will be able to 1) bind to its target effectively enough to stop that target from doing some disease-causing thing, 2) not bind to other things that are important for cellular function, and 3) get into the cell in the first place, without being broken down before it gets there. Balancing all 3 of these requirements is tricky, but rules of thumb have been developed for 3) that help guide the design of small molecules.
Perhaps the most important guideline for 3) is size. Most small molecule drugs (anything that you take in a pill, along with many chemotherapeutics) are designed to be < 500 Dalton. Once you get over 800-1000 Da diffusive cell penetration is rare (there are interesting outliers, cyclosporine cruises through lipid bilayers despite weighing in at ~1200 Da). Immunotherapy generally involves retraining your immune system by introducing antibodies (~150 kDa+) or whole T-cells. These modalities can generally only target things on the outside of cells, because there is no way they're getting inside, and they certainly won't be able to pass through the many layers of cells that make up a solid tumor.
tl;dr is that immunotherapeutic agents won't be able to penetrate solid tumors by diffusion because they (the antibodies and cells involved in immunotherapy) are too big, and there isn't any other mode of entry. I do wonder if a true immune response would need to penetrate at all though, because presumably T-cells would break down a solid tumor layer by layer if the appropriate antigen was present. I'm not sure how correct this line of thinking is though.