I tried this in showdown. Even while dynamaxed, when it would fail, it didn't say it failed, it said it protected itself.
(then again, maybe I just had insane luck and sheer cold hit every time lol, but after like 5 turns? Probabaly not)
The possible execption where you could say it "missed" is with jump kick or high jump kick, but those 100% keep going and crash when protect is used.