If a card doesn't specify "your Heroes", it targets "all Heroes". So the new HHI does protect your opponent's Heroes (as well as your Heroes) from their band abilities.
However, whichever protect was active first takes precedence. So if HHI was active before Judean Garrison, it would protect their Heroes from their band abilities. But if Judean Garrison was active first, it would protect the Heroes from HHI. Since HHI has to be reactivated each turn, Judean Garrison will usually protect from HHI.
HHI does only protect Heroes in play, so you could band to a Hero from hand, deck, Reserve or discard pile.