Are recessed lights thermally protected

Yes, all recessed lights have thermal protection, normally a bi-metal thermal overload. They must be to receive a U.L., (Underwriters Laboratories) approval sticker and be allowed to be sold in the U.S. The overload works on heat, not current, so that if you say put a 200 watt lamp into a fixture rated for 60 watt maximum, the overload will overheat and open the circuit.