Summary: MS Office will try to protect you from macro code even if you don't use "Protected View". "Protected View" is an extra layer of security for files opened from "untrusted" locations (such as e-mail attachments).
A long time ago, MS Office would automatically run macros contained in Office files. Macro viruses exploited that fact and used Word and Outlook to spread.
This has been fixed. In its default configuration, all recent versions of Office won't run macros unless the user explicitly tells them to do it.
So, what's the point of "Protected View"?
Files from "untrusted" locations (such as e-mail attachments) have a higher probability of containing malware than files from your local documents folder. Thus, when opening those files, Office adds an additional layer of security by activating "Protected View":
- You now have to confirm twice before macros can be executed (first to "Enable Editing", then to "Run macros") and, more importantly,
- non-essential features are disabled. These features (like editing, saving and printing) are generally considered "safe", but, like all software components, they can contain bugs. By disabling them, Office reduces the attack surface.
The latter point is not just theoretical: There have been bugs (e.g. CVE-2021-40444) which could only be exploited outside of "Protected View".