The rulebook clearly states that a protect unit can only take damage equal to its remaining health.
Here is the scenario:
You attack with Luke Skywalker (0 damage) and a Guardian of the Peace (0 damage). You place the shield counter on Guardian.
You go into combat against Darth Vader with his lightsaber.
Your opponent wins the edge and played a Heat of Battle. Heat of Battle deals 1 damage to luke.
Your opponent focuses Vader to strike and deals 3 damage to Luke.
You activate Protect and can only bring 2 damage over to the Guardian and you use the shield to prevent 1 damage. The remaining 1 damage is placed on Luke Skywalker.
At the end of the engagement Luke has 2 damage counters on him, the Guardian has 1, Vader has 2 damage.