It seems the new shrine effects from the Lunar Awakening event have interfered with the Protection shine’s effect.
Blizzard have clarified that certain dame over time effects can get through the damage immunity of Protection shrines, and that they’re working on a fix. So be very careful you Hardcore players out there, and maybe just play Protection shrines as if you didn’t have them!
Protection Shrine Warning: Some damage-over-time effects may still affect characters despite the ‘Invulnerable’ effect of this shrine. We are working on this issue and will provide updates as they come in.