A creature with protection from red cannot be damaged by red sources. This applies universally — it does not matter whether the red source targets the creature individually or deals damage to all creatures as a group (such as a red sweeper like Pyroclasm).
Protection grants four layers of defense, often remembered by the acronym DEBT: the protected creature cannot be Damaged, Enchanted/Equipped by, Blocked by, or Targeted by sources with the specified quality. The damage-prevention aspect (CR 702.16e) replaces all damage from the relevant source with zero, regardless of how that damage is being distributed.
Crucially, the damage doesn't need to target the creature for protection to apply. CR 702.16e states that all damage that would be dealt to the protected permanent by sources of that quality is prevented. A spell that deals damage to 'each creature' simply applies damage from that source to every creature individually, and protection intercepts that damage at the prevention step.
Example: Your opponent casts Pyroclasm (a red instant that deals 2 damage to each creature). You control a White Knight (protection from black) and a creature with protection from red. Pyroclasm deals 2 damage to White Knight normally, but the 2 damage that would be dealt to your protection-from-red creature is fully prevented — that creature takes no damage at all.
Referenced rules: CR 702.16 (Protection), CR 702.16e (damage prevention clause), CR 614.1a (damage-prevention effects).
Unofficial fan resource — not affiliated with or endorsed by Wizards of the Coast. Answers are AI-generated estimates grounded in the Comprehensive Rules and are not a substitute for an official judge. Verify anything match-critical.