LOL at Jason: he gets killed by a girl with an axe in the 3rd, by a 12 yo child in the 4th, by an even younger kid in the 5th, etc.
He is not immortal, because the film ends when he dies. Then in the next episode he's still there, like Kenny in South Park.

Freddy has his powers, his world in which he is pretty much invincible.

Jason is like a normal human being, big but dumb. He just have the luck to always fight against idiots. And yes, he comes back in every film with no reason at all.