If you were not able to move a power from a character controlled by the losing opponent to Melisandre, you have not met the pre-than condition and thus you do not get to kill that character.
Her ability does not target a character, as such the ability cannot be cancelled with Fear Cuts Deeper Than Swords or redirected with High Septon.
Power tokens on a character that is immune to character abilities are not immune to being moved by Melisandre. However, Melisandre cannot kill that character after the last power is taken due to the immunity. (Ex: A defending character with Dragonglass Dagger attached)
Immunity only protects the card itself and peripheral entities associated with the immune card (attachments, tokens, abilities originating from an immune card or duplicates) are not themselves immune. (Ex: Stannis’ reaction to winning a power challenge can be cancelled with Treachery)