here is another example of a non immune system placebo effect response:
http://psychology.about.com/od/pindex/f/placebo-effect.htm
according to the above quote this effect is centered in the brain, not the immune system.
You touch on two of the most remarkable aspects of animals - the brain and the immune system. We tend to associate the brain purely with synaptic activity -- which we inherited from jellies (or a common ancestor anyway) [nerves] and worms [ganglia], but it's often overlooked that there is a parallel path the brain employs which is purely by chemical signaling - principally hormones (leading to a possible link with a common ancestor to insects, which owe their metamorphosis to hormones). Hormones are also crucial in producing the proper body plan that corresponds to the HOX gene, during the early stages of embryonic development. And the immune system can be thought of as nearly entirely implemented through chemical signaling. But clearly the "electrical" and chemical manifestations of brain activity are connected--it's an integrated system.
The way the defense response works in regard to thoughts, feelings, behaviors and the "hard data" coming in through the sense organs is complex even if we reduce this to the way it's seen in primitive animals. The colorful displays of the octopus - which we would associate with our own "red in the face" anger, or profuse sweating, dry mouth or trembling, the way a cornered dog may remind us of a cornered person, certainly that glare - these behaviors and the autonomic responses - the dilation of the eyes - the automatic tensing of muscles and assumption of a stance - the ability to enter a hyper-alert state -- the kinds of things soldiers and prison convicts report - are also markers for stress that can leave long term alterations in the persona - such as PTSD. Similarly, the triggers for PTSD can restart these latent responses.
It stands to reason that the immune system is an indicator of stress--although more commonly physical stress, the emotional aspect does come into play. By the same token, the conditions of sheer emotional distress can trigger changes in immune response. Think of how it is possible that an animal can be suddenly caused to empty its bladder, stomach and/or bowels in order to prepare to run or stand ground. This kind of chemical signaling is more closely related with the immune response than synaptic processes, at least to this degree. Think of the rising of the bile just before a madman starts a killing rampage.
My point is to keep in mind that all of the changes that trigger these chemical responses, provided they are rooted in emotion, arise first in the brain, partly as synaptic activity, and in part by the brain's release of chemical messengers into the bloodstream. It's a system. It all plays together, thanks to our distant and remote kin, the hydra and jellies, the worms, the bugs . . . and "everything that creepeth the earth".
I mention this as further evidence of "macroevolution" as the term has been applied to connect humans with far distant species long gone. It almost stands to reason that some of the most basic ways that an organism can protect itself from another would find its "trait creation" in the most primitive of animals.