After thinking about it awhile after our game earlier, Rawr, I believe you can protect from protection, because protect abilities target cards like anything else. A protected card cannot be targeted by a card that it is protected from. So in your example, Rawr, you could CM your own hero.
When ANB says if making a rescue attempt, it means if ANB is played on a character in a rescue attempt. The Ambush the City ANB combo was nullified a long time ago.
Also, anytime I see ANB question as the topic of a thread, I shudder a little bit. I saw that you started it, and I shuddered a bit more.