...and I must admit I never thought of Darcy protecting Elizabeth.

However, I can't think of him spenting his time being extra-careful among women aspiring to marry him (and there have been plenty of them). If they 'd like to believe that, nothing could stop them. Caroline B is blinded to his constant indiference.
And all this "danger" thing...well...imo, it has not to do with putting E in danger.
Isn't it dangerous for him after all starting to feel something for a woman with so low connections that he couldn't marry? Couldn't MrDarcy get hurt by such a situation? (regardless E's feelings)