lol the AI is crap in FS2, you ask them to protect a ship but there useless, you might as well do it yourself and let the AI freelance.
The engage any hostiles that close within 1500 m of the ship they are defending, and they engage anything that fires on it, and help intercept bombs. Unfortunately, most ships get a chance to open up a can of whoopass on the defended ship before the pilots defending it respond.
Also, they will engage capital ships firing on the defended target (a waste). So you will need to tell them to ignore enemy cap ships, unless they're bombers.