Apparently the relevant issue at the time was not police officers' immunity, but complete judicial immunity even at extreme cases. Once the latter was established, it was necessary to give officers immunity for executing possible later found to be unlawful orders. Which later expanded to almost total immunity for officers based on similar arguments used to provide total immunity to judges.
It's interesting to read the original verdict and the dissent:
https://en.wikisource.org/wiki/Pierson_v._Ray/Opinion_of_the...
https://en.wikisource.org/wiki/Pierson_v._Ray/Dissent_Dougla...
Apparently the relevant issue at the time was not police officers' immunity, but complete judicial immunity even at extreme cases. Once the latter was established, it was necessary to give officers immunity for executing possible later found to be unlawful orders. Which later expanded to almost total immunity for officers based on similar arguments used to provide total immunity to judges.
Related Wiki page on Qualified Immunity:
https://en.wikipedia.org/wiki/Qualified_immunity