Dota – Does the damage from Ursa’s fury swipes cleave

What does it mean that it is reduced by armor type but not by armor value?

When the wiki mentions armor type, its taking about the class of the armor on the target. I.e. hero armor, creep armor, building armor. So if great cleave hits a hero, it will still do only 75% of the regular damage due to the hero armor bonus, but the value of the hero armor will not affect damage done.

The fact that it goes through magic immunity it means that the damage is physical?

Not quite, there are some magical damage that can go through magic immunity (March of the Machines, for example.)

In this case, it probably does mean that its considered physical damage.

It does not reflect HP removal abilities, but thats it.

You can find a list of HP removal skills at:

http://www.dota2wiki.com/wiki/HP_removal#HP_Removal

Everything else is being returned as indicated (note that BKB makes you immune to the return damage).