an un-pillageable improvement is what the dwarves really need, though.. They're one of the civs realy made for turtling, but people can just pillage things around you and make sieges easy. These unpillageable uber improvements would be useful at fighting back hippus hordes. All they'd really have to do is put someone in your settlement to prevent you from working it, but it's really frustrating when 60 turns of buildup goes down the drain because a 5 movement horseman came out of nowhere, pillaged your fort, and vanished back into nothing, without you even seeing it.
And it really makes no sense that forts can even be pillaged at all. Unless you're bringing siege weapons or explosives, you just DON'T "pillage" a fortification. It can't be done. Forts are designed to hold against the greatest onslaughts. A guy with a sword can't just chop the stone walls down.
I guess what I'm saying here, is that not only should dwarven settlements be unpillageable, but ALL forts should too.
There are two problems with unpillageable improvements: moving the improvements and game balance.
For example, say that forts were unpillageable; you have your Elohim empire and you have your borders with the Clan very well defended, as well you should. Eventually you culture-flip one of their cities so it's time to put up new curtains and get some irrigation ditches dug. But wait, you have an unmovable
Maginot Line that cuts into your new city's fat cross. What's worse, you discover smelting and it turns out one of those forts is sitting on an iron resource just begging to be mined. But you can't because your now defunct forts are cluttering up the landscape and refuse to be torn down. Woe is you. And while this might seem minor, we are gamers, we are optimizers and it gets under our skin when we can't reconfigure our stuff to make it work better. Back in Fire, the dwarves had unpillageable mines and that feature got pulled precisely because people eventually wanted to replace the mines with something else (windmills, for example, or they invaded the Khazad and didn't want their new city to be surrounded by mines...).
The second issue is game balance. The whole point behind cottages is that they are freakin' awesome once they hit the level of towns BUT are very weak to being pillaged by bellicose neighbors on horseback. The game even incentivizes that behavior by making the various cottage improvements worth more money when pillaged than other improvements. The same balancing mechanic should hold true for other slow-mature, high-yield improvements. As such, the Khazad can invest in buildings and improvements and domestic research so that their empire, though small, is MIGHTY whereas the Doviello are investing in a big military and military-related research and they are competitive despite the fact that they're running a deficit and couldn't build a library even if they wanted. To make the Khazad super-improvements (the cornerstone of their economy in FF+) unpillageable would be giving the turtle-strategy too much of an advantage.
So yeah, having a single Hippus horsemen somehow demolish a fortress/mine/farm which extends a mile below ground in a single turn does seem ridiculous. However, crunch beats fluff so we have to let that happen. Next time the Khazad should leave one or two axmen sitting on the defensive bonus giving super-improvement so the hippus have to pillage the unimportant stuff instead. If you really want a fluff explanation, you can claim the raiders collapsed the mine entrance, causing the denizens to suffocate or something. Heck, if you build a big enough bonfire inside the mouth of a mine, you can draw out enough of the oxygen to asphyxiate the miners. Regardless, the Khazad need to drive off the horsies, rebuild and do a better job of protecting their hard-points. Getting razed is Kilmorph's way of telling you to train more Axmen (or Auditors, if you are playing FF+).