I'm 95% sure it costs 2%? From the db, "Protect costs a base 2% energy [...] plus an additional 1/3 the damage that would have been sustained if the attack had successfully hit, rounded up to the nearest percent." Taunt doesn't deal damage, and zero rounded is still zero, so I think it would be 2 + (1/3)(0) = 2.
edit: If MF is right then I also have been doing Protect wrong all my life, so I might not be much help here.
edit: If MF is right then I also have been doing Protect wrong all my life, so I might not be much help here.