Upon initial use of "protect" it will not find any backup file via automatic scanning. One must use the "restore" boot option.
If starting new then upon normal shutdown or backup the backup file will be encrypted.
However, if you already have an existing backup, mydata.tgz, then, of course, "protect" will not load it.
Therefore you must manually load it via:
$ sudo tar -C / -zxvf /path/to/mydata.tgz
Then upon shutdown/backup it will be encrypted.
Subsquent booting and shutdown will work as expected and the restore boot option is no longer required.