You are correct in that, when the share price is greater than the strike price, the loss on your short call is covered by the gain the stock. Your short call position IS loss protected due to the long stock. But in going long the stock, you are now exposed to loss when share price is below strike price, so when share is less than strike, you’re exposed to a loss.
If you own a stock, and purchase a put option, the put ensures you will not lose any more money. If the stock goes down, your put cancels the loss. If your stock goes up, your stock makes money. Since you are not losing anything once you’ve entered the position, you are loss protected.
If you own a stock, and short a call option, you can still end up losing more money. When the share price declines, your long position loses money.
A long call option is loss-protected because once you pay that initial premium, you cannot lose any more money from the position. No matter what happens, the most you lose is what you paid for initially.
Again, it’s like saying if I’m long a stock, am I loss protected? The most I can lose is S0 which is a constant number, right? But I’m not really protected against loss because the value of my position can decline.