About "My Protected Files"

I found three executables and one dll with obviously-randomly generated filenames in “My Pending Files” list. But that’s not the point. Right now i’m trying to catch the s**t, turned on sysinternals filemon and waiting. The thing is - all these exes and dlls were in my temp dir (C:\Doc…ings\MyUserName\Local Settings\Temp). I put filemon there and also added it to My Protected Files. I decided to test this feature and did like this - grab the first exe i see and paste it to my temp dir. I see the alert about explorer trying to modify protected files, click on BLOCK and… explorer still can paste the file! I can see the file, i can delete it etc. OK, maybe i allowed the action - i killed explorer, killed all the D+ rules regarding explorer, loaded up and tried again. There wasn’t even an alert about modifying files in protected zone! OK, try other thing. Killed explorer, open up D+ settings, set explorer protected files access to BLOCK. load up explorer - still the same - no alert, and i can freely move and delete files in protected zone. Why is that? [!]?

UPDATE: These strange executables are mozilla firefox temporary files for downloads, so this was “false positive”. However, the problem remains - why doesn’t the protection work as it was expected?