I did some battery draw-down testing, using an 18650 battery. I don't have a definitive answer to whether there is a built-in protective circuit in the flashlight itself, but I think the answer is likely No.
As best I can tell, once the battery voltage drops to 3.5V, the light output is definitely less. By the time it gets to 3.0 volts, it is quite a bit dimmer. At first glance, this strikes me as odd, but in truth I don't know what the typical driver-board engineering of these single Li-Ion battery lights is intended to produce in the way of voltage/current control to the emitters. It would probably be worth taking this discussion over to candlepowerforum to get input from some more knowledgeable folks. I like the apparent potential of these lights for use with U/W video, but if they are not well regulated, I think that usefulness is not nearly so great.
Those measurements were resting voltage - after letting the battery sit either outside the light, or with the light off, for at least 10 minutes. I didn't take immediate readings after shutting off the light, but they would be less.
I don't have a light with similar output characteristics to do a careful comparison. I was using a SL4 LED light, which is less bright overall, but has a more concentrated hotspot, and moving the lights back and forth in relative distance from a wall to try to gauge relative intensities. It's possible the noticeable fall-off in output occurs at even higher voltage. A better test will have to wait until I have a second unit. Maybe someone with two lights can do this test.
So although I didn't take the battery down much less than 3.0V, which should be well within a safe range, I think the risk of draining the battery far too low during actual use is low - you will notice the loss of brightness long before reaching any purported safe voltage limit. If you should leave the light on accidentally or unattended, that is probably a different matter.
