A couple times now we've destroyed a Protected enemy's drones (yes, I'm SURE we got them all) and the enemy still couldn't be damaged. Fortunately, we were able to just run past them, but if this happens during an objective that requires all enemies to be killed, it'll be a hardlock. Also, this modifier is just... not fun. It's fine on stationary or slow enemies in open spaces, but the drones can just float into walls and other geometry, so you can't even shoot them half the time. And when something fast/erratic like a taken thrall gets Protected, it's frustrating at the very least.
In short, Protected needs work/fixing.
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I had the same issue in my instances, the only way to bypass the immune enemies is to use your super on them.