Gretin, as far as I can tell, you're only invincible that one time it takes you back to play after you get the bad ending. If you start again, or go back the the main menu, the cheat deactivates. Also, I haven't been able to find a working Invncibility cheat for either game on PC.
As for the "extra stuff", it's mainly on the PS version. I think you do get some extra art, but you don't get the Guardian Angel... thing on PC.
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