I think i might have isolated it...
As long as you install and always run JV as administrator your OK, change messaging options, run the registry cleaner, no protected mode prompts.
Here are the stages:
1. Install
2. First run is done using "run as administrator"
3. Change options
4. Run registry cleaner
5. Reboot
6. Check IE - no protected mode prompts
7. Disable "run as administrator"
8. Run JV16 reg cleaner, NOT touching messaging options.
9. Reboot
10. Check IE -no prompts.
11.To verify - "run as administrator" change messaging options.
12. Reboot
13. Check IE - no prompts
14. Run as normal user -CHANGE messaging options
15. Reboot (important, symptoms wont show until next reboot)
16. Check IE - protected mode prompts!
Conclusion, changing messaging option while NOT running as administrator is the trigger for the protected mode reset.
Confirmed under Ultimate, NOT an issue under Home Premium.