Vitamin deficiency can certainly threaten your immune system, and it's linked with all kinds of problems. But the body has no easy mechanism of disposing of excessive fat-soluble vitamins, so if you overdose you are at risk of long term unpleasant side effects.
There is a safe range of blood levels for vitamins: defficiency is bad, excess is bad. Not one piece of research, ever, has even suggested that overdosing is in any way better than maintaining 'normal' levels. And if one does tomorrow (an unlikely scenario), overdosing will still bring unpleasant and possibly permanent side effects.