When I removed my screen lock, the message "‍Device protection features will no longer work"‍ appears. What does device protection mean?

Starting from Android 5.1 Lollipop, Google added a feature called Device Protection that helps to protect your phone in case it's lost or stolen. When you set a screen lock such as a screen pattern or PIN, Device Protection is automatically enabled so that other people won't be able to use your phone—even after doing a factory reset—without your Google Accoount login credentials. If you remove your screen lock, Device Protection will be disabled.