Yea they do the ones i have do have the protection in them and they are beside me right now the ones that explode are normaly damaged in some way or inserted wrong.
YOU may have a set of protected batteries, but MOST batteries (as in I'd be confident saying 99%) sold by vape shops DO NOT HAVE PROTECTION. Not even button top batteries are guaranteed to have protection circuitry built in. The most common vape batteries, Sony VTC's, Samsung 25R's and 30Q's, LG Brownies, etc. DO NOT HAVE PROTECTION BUILT IN. Since pretty much every other 18650 on the vape market is a rewrap of one of the big suppliers, you can be fully confident that none of the others have protection circuitry built in either.
Regulated mods have protection built in to the device. That's why they are regulated. Mech mods have no protection built into the device whatsoever. That's why they have the potential to start fires when used with batteries with damaged wraps, poorly designed atomizers, etc.
Here's a supplier of batteries that's pretty common in the vape world:
Batteries - 18650 Batteries - IMRbatteries.com
Pick a battery, click on it. It even tells you if there is protection.
Here is the list of protected batteries they sell:
Batteries - Protected Batteries - IMRbatteries.com
As you can see, the list is tiny.
This is just one supplier of batteries, there are many, but you have to be sure of what you are buying.