You cannot select combat ships, civilian ships or strike craft at the same time. You need to select the protev after you select combat units, hold down shift and select the protev if you want it to have it in selection with your cobalts.

This feature prevents you from accidentally sending starbase constructors and colony frigates into battle when you select numerous ships at once (if you have ogrovs or starfish you may see something similar if you forget having them, they go where you ordered the attack but won't shoot because they can't, colony frigates can shoot but they are primary targets for the AI and humans as well so having them near enemy units is.. undesireable, and are weak as hell).

I think you are talking about this thing. If yes, then it is normal, and not a game breaking thing as you may not want to fight with Protevs anyway lol.

Ah yes. Colony frigates, starbase constructors and envoy cruisers are considered non-combat ships and will not receive general fleet orders. You have to select them separately, or if you hit the little bar on the left of a planet with all your ships displayed on the side it alternates between selecting all combat units, strikecraft and non-Combat ships.