What risk exists if a portfolio is immunized?

The book says that if a portfolio is immunized against a change in the market yield at a given horizon by matching portfolio duration to horizon, the portfolio still faces the risk of a change in interest rates

Do they mean here that immunization only covers the risk of parallel shifts in the yield curve and not a change in the slope of the yield curve?

Yes exactly that. Plus there is the default risk, which is ignored.

So there is the CFA curriculum and then there is real life. Two different things.