Say I have a +1 Flaming Burst Longsword and hit with critical menace one of those few creatures immune to critical hits. The target doesn't take the normal extra damage from critical, and that's ok; but should I anyway confirm the critical and add the Flaming Burst extra damage, or it doesn't apply at all?
In other words, is a critical considered to be "in my strike" or "on the target's skin", if you get what I mean?
It's on the strike. You should confirm the critical to see if Flaming burst activates, just you don't multiply the normal damage.
Raghart is correct.
Magic Weapons and Critical Hits: Some weapon qualities and some specific weapons have an extra effect on a critical hit. This special effect also functions against creatures not normally subject to critical hits. On a successful critical roll, apply the special effect, but do not multiply the weapon's regular damage.
Good, great, thanks.