If you run Li-ion batteries in series, and light does not have a facility to cut of when any individual cell voltage drops too low,
OR there's little confidence in the light's electronics (say, a cheapy where driver or LED is poorly cooled)
then it's probably safer to use protected Li-ions.
Outside of that: naked cells for me. No extra point of failure, lower self-discharge, cheaper, higher performance. And less chance of something going wrong when a battery is dropped or its wrapper gets damaged. Sure even a quality light's electronics may fail & short circuit a battery. But I suspect there's lower chance of that happening than a (cheap) protection pcb on a battery failing. Not to mention batteries spend the bulk of their time in storage. While sitting there, protection pcb can still fail at random point in time since it's always-on. Naked cells don't have that issue.
Since practically all lights I have are single-cell lights, the dangers of running in series is a non-issue and protected cells have little added value (if any :thinking: ). And even if I'd buy a multi-18650 light, most likely I'd go for one that runs those in parallel.