Well considering your logged into this site to post, it still does transmit data. If you do any type of online transactions, it still has to transmit that data. Protected Mode is no good if you are surfing the web normally. Even Microsoft's description of Protected Mode says that it stops downloads, prevents changes to system files and helps block hackers.
You know what, that can all be achieved without using Protected Mode. Get IE7Pro. There same thing.
Use Firefox with NoScript, FlashBlock and AdBlock. Even Better.
Opera with certain User.JS files. Same as above.
There are more ways to protect yourself than using IE in Protected Mode. Cause all that is doing, is hurting you.