You are correct and they are incorrect. The question was about the symbol, not about why he could not invade or be invaded. The covenant of champions
does not produce this symbol.
The only way to have this symbol is by actively burning an effigy, which was your answer. I have just tested this and here are two pictures, one while I was in the covenant of champions, but had not burned an effigy, and one 10 seconds later after burning one.
imgur.com/NZ7wc10 —
Mondrianaire 6 hours ago