You can use a protected ICR battery in a mechanical mod. People have been doing that for several years now. If used properly and with common sense, these are reasonably safe to use.
With the arrival of IMR (Li-Mn) and hybrid batteries on the market now on the market, current wisdom is that they are a safer alternative to protected ICR batteries due to their use of "safer chemistry". These batteries are also considered "high drain" batteries which regulated mods, mechanical mods which are using a Kick, and RBA/RDA's require. This is because they will have a higher Amp limit than ICR batteries have.
ICR batteries use a volatile (flamable) chemistry, therefore use built-in protection circuits. Should that circuit fail, the battery has potential to go into thermal runaway and vent with flames. A safe chemistry battery can also go into thermal runaway, but the results will be less dramatic without flames.
failed protected ICR battery that vented in thermal runaway
Battery Basics for Mods: IMR or Protected?
Deeper Understanding of Mod Batteries