Yes, I wouldn't worry about low-voltage-protection unless you're using a light with multiple cells in series, or you're using a light with a boost driver.
Most single 18650 lights just have a linear regulator or something like that to drop voltage to the emitter if the battery is full. Once the battery gets down to about 3.0v, the voltage is too low for the emitter to do anything more than low modes. It will probably continue to run in that state for at least an hour, probably longer. You'll have plenty of warning the shut off the light. Just make sure to shut off the light, and don't leave it like that. Even if it shuts off by itself because the battery is too low, the battery is still likely powering the driver and draining current.
For 18650 lights that have a boost driver (such as Zebralight), I've never had one that doesn't have low-voltage-protection, so you're probably safe there too.
That said, I don't know why all cheap lights don't have LVP, even if they otherwise give a lot of warning. Seems like a simple and inexpensive feature to add.
Some will say to throw out your cell if you drain it below 2.5v. That's very conservative. Personally, I'd be okay to use one even if it dropped all the way to 1.0v, as long as it didn't stay there long (i.e., days). Still, it's better to be safe, so 2.5v may be a good cut-off.