I didn't kill Astrid when she kidnapped me because I though it was a scripted event and she couldn't be killed. I thought it forced you to kill one of the victims and that was actually gonna be my motivation for wiping them all out along with kidnapping me...
I didnt get that killing one of the victims would enroll me in the DB. I thought I was paying them back for the kill steal (Grelod) and that after I did that I would be able to have access to them and be able to kill them.

So it turns out now that I CAN'T kill them. They're ALL Immortal now.. WTH?

Is there any way for me to kill them now? How was I suposed to know they woudl all turn essencial after I didnt kill AStrid? Ans WHY are they essencial now?
Please tell me I can still get the quest to kill them.

Im on PS3 and I have no saves going back to the shack cause I did that and then played over 25 hours before i decided to go visit the Darkcave.

No you cannot get the quest to kill them.

They are essential because you CHOSE to go along with what Astrid asked you to do, you CHOSE to partake in the Dark Brotherhood initiation ceremony, and you CHOSE to accept the practices of the DB by doing so, instead of choosing to kill Astrid when you had the chance.

You made a choice of accepting the DB, and now you have to live with it.

Not unless you have a save file from before you killed the captives, your stuck with them other wise.