Protective custody prisoners not assigned to their cells
Remember that room quality is generally considered more important in the game than assigning a prisoner to a specific wing instead of a shared wing. In other words: Your protective custody cells are too nice, and your prisoner does not yet "deserve" this quality of cell.
Ways to "fix" this is by creating assigning a security level to each of your cell blocks, including holding cells. This way a prisoner will get assigned to a qualitative better cell in the correct wing. Creating a holding cell for Protective Custody only, while there are no holding cells for "shared" will work too.
Keep in mind that a prisoner will only be more content if a cell is "better than average". If you let all your prisoners live in quality "10" cells, this is the average, and they will not be more content than living all in quality "4" cells.