I found a way to manually update clamav (from http://www.clamwin.com/content/view/58/27/), by creating a folder
[C:\Users\All Users\.clamwin\db] then put daily.cvd and main.cvd into the folder.
After that immunet main view will show updated version number at next launch.
I am not sure if this was the root cause in my case but 2 issues I found:
By default my C:\Users\All Users\ folder is inaccessible. I had to change the security permission by removing all users deny all permission.
Creating folder starting with "." requires use of command prompt.
However this does not enable auto update, albeit settings is, I still have to download the files myself. The immunet updater show downloading daily.cvd (7%, 15%, 22%) then always fails, saying 'unable to install updates, please try again later.'