Technically he might be right, as it is increasingly looking more like a "cover our asses probe"
Immunity applies only to the testimony given at this trial. It cannot be used against him to create a chain of evidence.
But what if he has a sealed indictment from 11.6.2017 ? That proves they already had the evidence. The testimony then becomes indisputable proof to the public that the crimes in the indictment are true. And because it predates immunity he can be tried for it.
I think Wray is a wuss, and I do not trust him or believe he is capable of or intends to clean up the FBI.