I always feel better using protected cells. Protection circuits both protect the cell from damage (user abuse from operating it outside of its intended range) and helps prevent "rapid venting with flame" (explosion).
Protection circuits:
1. Prevent overcharging
2. Prevent overdischarge
3. Limit the maximum current from the cell
One drawbacks of protection circuits is that they consume space that could be used for the battery and results in slightly less cell capacity. As well, with some high current lights, the cell protection can trip due to high in-rush currents. IMHO, the benefits of protection greatly outweigh these drawbacks.
Given the choice between protected and unprotected I would choose protected.
Additionally, since the Q3s do not have a low voltage cutoff, protected cells are advised.