Question

why do investors who buy inflation-indexed bonds want protection aginst?

Answer 1

that is because should they are not protected they may end up loosing all the money invested in the bonds , remember the bonds that are more safer are the government bonds but any other bonds outside the bearer of government are risk bearers meaning you must be protected for such , as if the company to which you have purchased or invested in as a bond holder become liquidated will mean loss to you if you are not protected