No, there's no immunity passed from the cow to the calf. As for which animals you want to vaccinate, you vaccinate all the animals you don't want shedding the organism. In an ideal world, we would vaccinate all the residual cow herds. This way, those cows aren't shedding it, and when newborn calves arrive they don't become contaminated. If you vaccinated the calves, you'd be stocking feedyards with animals that don't have the strain of E. coli. But if the background work isn't done, then you must start at the feedyard and vaccinate, because they're the animals that are closest to the food chain.
On May 27th, 2009. See this statement in context.