How would they know they are immune until they die? Others have been bit and whatnot and not turned.. Hershal.
Do you even watch the show at all? No offense, but your "pure filler" comment seemed odd. I'll admit, there is a lot of pure filler during this, the 2nd half of Season 4. Last night was a different story though. And now you're saying Hershel didn't turn?? Yeah, he did.
They showed it in the very first episode after the mid-season finale. Michonne returns to the prison to get a couple of new walkers as camouflage when moving through groups of the undead. She finds two new ones, cuts off their arms, removes their jaws, and ropes them up so they follow her wherever she goes.
However, while she's there at the prison, she comes upon Hershel's severed head. And we clearly see that he's turned. Michonne looks at his undead head for a moment before putting her sword through it, as she stabs downward.
There hasn't been any character so far who died, and didn't turn into an undead creature afterwards.... unless they were shot or stabbed through the head first. Yeah, Dale didn't turn. That's because he was shot through the head. But that was before Rick told the rest of the group that they and pretty much everyone else is infected. Dale was shot so he wouldn't suffer a very slow and painful death.
As far as characters finding out that they're immune, yeah; can be done without dying first. Someone gets bit on the arm. But they don't turn into an undead corpse. Simplest way to discover that one is immune. Perhaps they suffered another bite later on. Still didn't turn. Meanwhile everyone in their group who has suffered even a small bite, died and came back as an undead corpse.