In some cases, if you’ve just activated Authenticator on your account, you may need to unlock the account the first time to get the bonus. In order to do this, access the Authenticator application, select the account concerned and click ‘Unlock’. Then log out and log back in again to Dofus.
The exclusive emote isn’t delivered as a gift (or via a scroll). It is available directly from the emote list or by typing /protection in the in-game chat (you must not be on a mount).
The loot and XP bonus isn’t visible in-game. There are no in-game messages or graphics telling you it is there, but it certainly is. All those using account protection currently gain a 5% loot and XP bonus.