Protection jewellery is only effective when your HP is much higher than the damage you receive. You can always heal between fights, so, mathematically, what is important is how many hits you can survive before killing the enemy. Imagine the following scenario (e.g. fighting lurkers in the early game): you have 100HP, the enemy hits you for 60 damage. If you use the protection amulet (8 prot, 1000 gold), you will still die in 2 hits, and its effective bonus will be 8*2=16. If you use the health amulet (40 HP, 400 gold), its effective bonus is independent of the number of hits, and you die in 3 hits. On the other hand, if you fight enemies with low damage or you already have lots of HP or armour stacked - e.g. you get 20 hits before dying- the protection amulet will give 8*20=160 effective HP bonus.
The thing is - on high difficulty levels you do not really care about mobs that deal low damage; they are easy as they are - while the top predators in your current area deal so much damage that the protection amulet/ring/belt are nearly meaningless (unless you stack them all and have a ton of HP)
Similar logic but a bit more random and complex with stat amulets - e.g. + 10 strength with 50% skill gives you on average 5-6 extra damage per hit. If you were only dealing 10 damage on average, getting the amulet would mean that you will now kill an enemy 50% faster, meaning receiving fewer hits in the process, etc.