If my understanding of the situation is correct, it is the placing of Wheel W/in a Wheel that cannot be negated since it happened outside of battle (I could be wrong on that, though), but the protection is an ongoing ability, not a gained one. So Captain would negate the ongoing ability, but not the placing since the placement has already stuck. I'm not sure if it would have to be there for over a turn before it sticks or not? I had thought about doing the same thing, but figured that he would negate the protection, and wasn't sure if he would even negate the placement if I tried to rescue on the same turn that I placed it on him. Someone else would probably have to clarify that.