Are Elves immune to the fear of the Nazgul and Barrow Wrights? I know Legolas was not afraid of the Ghost of Men.

HN

He says so before entering the Path of the Dead,
it's real or he's simply joking on Gimli's fear?
More seriously, I don't see the firstborn to wake in fear of the spirits of the second children of Iluvatar, but to say they're immune seems to me a bit too much. Shall we say that an experienced princeling (with a certain Wisdom, as by the rules) have an easier difficulty roll on the Fear Test triggered by the spirits of mortal men?
Another story for the Barrow Wigths, for they aren't the spirits of deceased men, but something fouler sended by the Witch King of Angmar to infest such tombs.