The theme of "Immortality" is pretty closely related to "Memory and the Past" in "The Splendour Falls on Castle Walls": both have to do with the ways that "echoes" can affect us. But instead of the "echoes" of the past coming back to haunt us in the present, the speaker realizes at the end of the poem that we create "echoes" of our own that can give us a kind of immortality. That's not so bad, right?
Tennyson forever! The reference to fairy tales and mythology through the description of the "castle" (1) and the mention of "Elfland" (10) suggest that literature can offer a kind of "immortality," which suggests that the poet was consciously trying to attain this kind of literary immortality for himself.
Immorality is like an exclusive club. The "echoes" of line 14 serve as a kind of conduit for immortality, but it is an immortality that is only available for people who understand the deep connection between individuals that the speaker has realized.