We will add more information to the documentation to clear all these. But for now, use the following:
Saving Setups is an explicit action that allows you to save the current state of your work to be used later in your project or somewhere else. The setups are not used by Flame and should be seen as an offline saving. As I listed in my previous answer, we have some options to automatically save your work as Setup files but this it not mandatory since the Project saving saves all your data in the Workspace. Saving a setup takes time and is in addition to the Workspace saving. Help
Protection Mode was added long time ago to ensure that when you perform an operation (like adding content to the Media Library or perform VTR IO in the old days) we force a project saving before the action. So, if you have a large project and also have options to save Setups AND have Protection Mode enabled, then saving will take more time. Help
If your project saving takes a long time please open a ticket with our Support team. It will be easier to investigate since not all cases are the same.