My understanding is that even though immunotherapy's mechanism may seem more natural than chemotherapy and radiation, and in some instances may be a magic bullet, up-regulating the immune system can have serious consequences. I remember reading about a clinical trial showing similar progression free survival but increased grade 4-5 toxicities (requiring hospitalization or being fatal). My assumption was that these are autoimmune conditions that are aggravated in some of the patient population.
oop talked about mechanism, so we can't know side effects here. someone will publish a new drug that relies on this mechanism, and then they will check the side effects of the specific drug on cells, rats, or other experimental species.