'cannot be the target of spells or abilities' functions only on the battlefield.
'cannot be countered' functions only on the stack. You can only counter something when it exists as a spell on the stack. Thus, Thrun is a legal target for a Counterspell.
However, since Thrun cannot be countered, any Counterspell targeting Thrun won't counter Thrun. (If you cast Lay Bare, for instance, you still look at your opponent's hand, even though Thrun won't be countered.)
This should also be moved to rules questions when a mod gets a chance.
(P.S. I think you're looking for the word 'semantics'.)
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