We propose an initial exploration of an interactive machine-learning (IML) dialogue in immersive, interactive Virtual Reality (VR) for the classification of points in 3D point clouds. We contribute ImmersiveIML, an Immersive Analytics tool which builds on humanmachine learning trial-and-error dialogue to support an iterative classification process of points in the 3D point cloud. The interactions in ImmersiveIML are designed to be both expressive and minimal; we designed the iterative process to be supported by (1) 6-DOF controllers to allow direct interaction in large 3D point clouds via a minimal brushing technique, (2) a fast trainable machine learning model, and (3) the direct visual feedback of classification results. This constitutes an iterative human-in-the-loop process that eventually converges to a classification according to human intent. We argue that this approach is a novel contribution that supports a constant improvement of the classification model and fast tracks classification tasks with this type of data, in an immersive scenario. We report on the design and implementation of ImmersiveIML and demonstrate its capabilities with two emblematic application scenarios: edge detection in 3D and classification of trees in a city LiDAR dataset.