Pretty much all consumer electronics use "unprotected" cells, and rely on the device's circuitry. Think of a typical device with a single 18650 cell, like my toothbrush. It doesn't have a cell with a wrapper covering a protection circuit--it uses an "unprotected" cell, and has charge/discharge circuits to protect it built into the toothbrush.
Multi-cell devices, especially with cells in series: yes, please, protect every cell. Single-cell [something]-fire lights--if you must use the light once prior to throwing it in the trash, use a quality protected cell. Single-cell lights, or multi-cell lights with all-parallel cells--I don't see a need for individual cell protection if the device is high quality and has protection circuitry.
Another example of protection being a bad thing--some are prone to cutting out from a shock--like a weapon-mounted light. Not that a Zebralight is a good choice for weapon mounting...