When Agent Thomas shoots Malcolm and he heals himself, the blood and bullet holes also magically disappear from his shirt. While he may be immortal, his shirt wouldn't magically fix itself. Furthermore, in "Homecoming" (episode 6) we see that Dreyfuss has become immortal after he pulls a shard of glass from his stomach and the wound heals. However, the gash in his shirt doesn't magically stitch itself up then.