The "protect" button does just that, protecting the image from deletion while it is in the camera. Once the image is downloaded there is nothing on the image, to my knowledge, to differentiate it from all the other images. I wish there was. It would make life a lot easier.
Actually, it does a lot more. D'oh moment - the protect (or lock) button sets the file attribute of the photo to read-only. This attribute stays with the file even if you copy it to computer. And Photomechanic sees the locked file as tagged, allowing you all the nice things like view only tagged (F3 hotkey), et cetera. You don't even have to ingest with Photomechanic, it will see read-only photos as tagged nevertheless. But it's better to ingest with PM, as 1) it ingest locked photos first, so you can work on the most important ones right away even if the rest is still being ingested 2) it clears the read-only attribute but retains its tagged status so you can edit the file but still keep it as tagged.
This has been one of the most important features of PM for years, that way you can quickly tag important photos in camera for example during a lull in action while shooting a football match, and quickly viewing only the tagged photos when you have just few minutes to upload them before deadline.