But it doesn't matter that he's protected by them, because it's his inner thoughts that they can't protect him from.
You've got to imagine, it's enough of a shock to accept the fact that you're in a completely different time, but everybody you know is dead.
This allows for the possibility that Steve Rogers really has died, which would fit with the service being held in his honor as a new Captain America exhibit is opened at the Smithsonian, centered around his shield.