There is an entirely reasonable concern here, that any colonisation of Mars is going to lead to a population vulnerability. but the idea that humans on Mars would evolve away from having an immune system is silly to the point of insanity. That really just isn’t the way that the subject works out:
One change that could occur relatively fast? Non-Earth dwelling humans may quickly lose their immune system. In a sterile environment with no microorganisms present, the residents may have no need for a body capable of fighting germs.