Good question. Kingdoms of the World (all versions) protect all cards in the fortress from either "effect" or "harm or effect". These do not specify player, so it is
all abilities that they are protected from. This means they are protected from you and your cards as well (this is why you have to interrupt KotW in order to band those EC into battle, for example).
Since you have two brigades in territory though, and you have non-protected EC in territory, you must discard one of them (or another legal evil target in territory). You still have a legal target, so you have to complete the ability. If everyone were in KotW, you would actually have to discard KotW, as it specifies "evil card" and that is your only legal target.
In that last case, even though your characters are protected from effects, they are not protected from the game rule that says cards in fortresses follow the fortress. If KotW is discarded, everyone inside is discarded, even though they are protected.
Hope that helps
