It's really going to depend on what you WANT to happen.
for instance:
You have some cells that can be modified, but others that you want to
"lock".
Do you want the "locked" cells to be selectable?
If not, you CAN use the SelectionChange event to check to see if the
cell selected is A)locked, and B)protection is on. If both are true,
then the "focus" can be changed to another cell, thereby making the locked
cell "un-selectable".
This is similar to the use of a "form" in MS-Word.

Once again, what is it you WANT to have happen.
the protected  Cell message  appears AFTER the user tries to modify a
protected cell.
Do you want to PREVENT them from performing the illegal operation,
or ignore them after they've tried?

I'll continue looking for a way to capture the message, but until then,
I hope this helps.