Oh, I recently remembered something. When I was playing Scythia I was attacked by Parthia. I was in a bad way because they outnumbered me by more than 5:1 in overall strength and each time I defeated an army they would move up a new fresh stack and I was too poor to buy more HA's and such, on top of that they had Cataphracts...

They proposed protectorate, I took it, but they attacked me the next turn. They were sieging one of my cities at the time so I think if they are sieging you they will attack despite the protectorate status for some reason. Small bug in the AI perhaps.