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 and have a Google Account set up, 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 Account login credentials. If you remove your screen lock, other people may be able to use your phone without having to sign in, and may be able to bypass the Device Protection features.