protection circuits are good for DIY builds because who knows what's been shorted out inadvertently. You could turn the thing on, nothing would happen, and then if you don't turn it off it will either just sit there because of an open circuit, or it will destroy the cell because of a short circuit.
Depending on the cell, this could result in explosion, vent with flames, etc. Or there might just be some internal damage and reduced capacity with better-made cells.
Alternatively, some cells are capable of higher outputs than others, and the protection circuit would just limit these to lower current max. This isn't necessarily bad, since we rarely pull that much current with a laser diode anyways, but with a flashlight or something else that needs the power, unprotected cells is a risk that actually has a noticeable benefit.
If you are making a quality build and have a driver that actually cuts out at ~2.7V input, I'd say get some good OEM cells like those sanyos that Larry has. They'll have great capacity, they can supply whatever you need to pull from them, and are built better than generic cells.