When working on a character, everything matters: star level, ability level, gear, mods. But usually the most important thing is the gear level.
In order for a character to start with protection (the light blue line above the health bar), they need to be at least gear level 7.
Some gear is not available through normal farming, you will have to either win in raids or buy it from one of the shops. When buying gear like this, pay attention to the costs. Most, if not all, buying a completed piece of gear is cheaper overall than buying the many pieces of salvage that are needed to craft it.