I read in various manuals that immortal beings cannot learn or improve past their point of creation, but what does that mean ? Can they take new memories and stuff or is it something else
Immortal beings can learn new things - it is just much more difficult for them than for mortals, and often requires vis.
What it means for magi who manage to turn themselves immortal is described in The Mysteries: Revised Edition Appendix A.
For creatures with Magic Might, see Realms of Power: Magic pg 51-52
For Faeries see Realms of Power: Faerie pg 62-65
It depends on the immortal being.
Faeries can learn new pretenses by interacting with mortals who learn abilities during their interaction.
Angels have access to universal knowledge, and you can't learn when you already know everything.
Magical beings require vis or very high source qualities for minimal learning (sometimes both)
Demons- nobody is certain about. Some had universal knowledge as angels and forgot most of it, others were born of other demons and maybe learn but get wiped out by infernal politics or maybe had some portion of that universal knowledge stuff. It's not like they would be honest about how that works...
IIRC, Might acts as an experience point penalty for Magic Realm aligned beings but appropriate vis can be used to lower effective Might for one experience source, once.
Faeries can change their stories when interacting with humans. Don't remember the details off the top of my head.
Divine aligned immortals are weird and the standard rules don't necessarily apply. I suggest you check out Realms of Power: Divine for any such things. Though that divine dragon from that adventure might also have some rules attached.
Demons lie. Infernal hierarchies mean their Reputations affect their Might, so I wouldn't apply Magical Being rules.
Just gaining Might does not make something Immortal, which I broke down in this post. Being immune to aging (from Might) =/= immortal. There is a pretty extensive list of differences between them in the game.
For learning, things with Might have an XP penalty (can be overcome with Vis) and have no problem learning spells, while Immortals don't gain XP or new spells beyond a season without storing it in enchantments (losing it if the enchantment is destroyed). So Might can still learn while Immortals can not.
By that argument the only truly immortal being (in the setting) is God, and he can't learn anything because he knows it all.
I think a lot of the answers sidestep the basic essence of this question. Here, cannot learn or improve means, essentially, they cannot change the character sheet via xp expenditure, spell research, and similar means that most PCs use. However, they can certainly learn someone's name and remember being wronged.