In my GB campaign I liberated Bavaria. And indeed when I left the building Hessen declared war and captured Munich. Since I was unable to defend them I broke the alliance. In my current French campaign I had four protectorates: Venice, Baden-Wurtenberg, Ireland and Scotland. Especially Baden was a very good ally who very often assisted me in the defense of Munich against Prussia, Austria and Saxony. I think that Scotland and Ireland are safe because the United Kingdom of Wales and Gibraltar is powerless. Venice (Italy) can defend itself.

In the early days of the protectorate you have to assist it. Usually when a protectorate is created it spawns a few troops and is unable to defend itself. After a couple of turns it should be able to look after it self.