This kind of reproach to Nietzsche is a common and consequential one - one finds it in Arendt and Heidegger, to name two figures off the top of my head - but I think it's ultimately misguided. As I understand it, the 'trick' is in recognizing that immanence and transcendence are not simply two poles on an equal plane along which one can be orientated. They differ
in kind. The difference is that the affirmation of immanence is not the affirmation of something
given, a concept, idea, or set of values; instead, I understand the affirmation of immanence to boil down to the imperative of
creation: the much vaunted 'creation of (new) values'.
This phrase, found everywhere in Nietzsche, is often (mis)read as though what Nietzsche simply called for were
alternative values, values other than the currently(?) existing ones - as though, once found, we could rest on those new, appropriately forged laurels. But the accent instead needs to be placed on the act of creation itself, the perpetual engagement and renewal of value-creation as an art unto itself.
Eternal return. This is where the difference-in-kind between transcendence and immanence lies: immanence is not an affirmation of an alternative set of 'worldly' values, as though one could pick and choose between two gift-boxes in the shop: the affirmation of immanence means the affirmation of action, of doing, of acting in the world without an external standard which would 'judge' it from without or in advance.
Understood in this way, immanence needs no reference to the 'transcendent' which would 'demarcate it', because action and creation are never 'demarcated' by anything otherworldly. Creation is not the
kind of thing that can be 'demarcated', which amounts to a category error, or a grammatical mistake. Immanence is not a 'concept' in the way transcendence is, although it bestows a
name onto a certain way of approaching the world. One so named, there is indeed the danger of reifying immanence into kind of principle unto-itself - a new religion - but this is just the danger of names or all philosophy in general (one doesn't ask: how can you affirm your Streetlightness when you need non-Streetlighness to demarcate your Streetlightness? But I don't act or write by reference to my 'non-personality'. The very idea is a post-facto fabrication).
This is how one can understand Nietzsche's affirmation of life as a work of art or, elsewhere, as a work of experimentation: it's in the 'doing' that one finds joy, and not the 'talking' (especially about 'Gods in the proper way'; note that experiments, in their nature, are not the
kind of thing that can be 'demarcated'). Hence also Nietzsche's revulsion at dialectics: "With dialectics, the rabble rises to the top" (
Twilight of Idols). Anyway, long story short is that the kind of critique you make only works if immanence is modelled on the form of transcendence: but this is exactly what is meant to be undone. The very talk of 'demarcation' itself treats immanence as something it is meant to contest.
If you have institutional access, see if you can find Jeffrey Bell's essay "Philosophizing the Double-Bind" where he shows that despite the surface similarities of Plato and Nietzsche across a whole range of points - and there are many - their respective commitments to Being and Becoming make them irreconcilable at the very level of form, and not merely 'content'.