That Mary was conceived without the stain of original sin. That is, the tendency towards sin that all other human beings (sans Jesus of course) were born with since the congenital stain inherited from Adam & Eve (read St. Augustine for exhaustive detail) is not present in Mary, so that she can be the "pure vessel" to hold the perfect Christ in her womb.
To say Anakin is an "Immaculate Conception" is thus totally wrong and makes no sense at all. If it were true, then Anakin would be born sinless, meaning he could not have become Darth Vader (as we know he does in the story).
We don't know if Shmi Skywalker is a virgin, but the movie puts forth the notion that she got pregnant without intercourse, which is what the virginal conception of Jesus (and virgin birth) was all about.
To sum up, according to Catholic teaching:
Mary's parents were ordinary people who had sex. Mary's mother got pregnant and gave birth to Mary in the usual way.
Mary was born sinless, never committed sin in her entire life.
Mary got pregnant miraculously (she didn't have sex with anyone her entire life) and gave birth to Jesus, the sinless messiah who was both divine and human.
(and no, this doesn't mean Mary had sex with God or with an angel, there was no sex, period, again according to Catholic understanding).
And it's not that sex was assumed to be "dirty" but by giving Jesus a human father, it would diminish the miracle (so it wouldn't fit with the Christian interpretation of the prophecy of Isaiah) and give Joseph some kind of claim to being his actual father, rather than God.
To call anything that happens in Star Wars "Immaculate Conception" is to take a popular misunderstanding of the term (usually from non-Catholics or nominal Catholics) and slap it in there, which hurts the credibility of the piece.
It's not as bad as the "Jesus Myther hypothesis" that was in an early draft of "the Secret History of Star Wars" but it's still bad, and so I'm glad it's been addressed (right?).