Most bare 18650 cells do NOT have protection circuits built into them. That's because most of those cells are designed to be used in groups as a multi-cell battery. It is that battery that will have protection circuits built in.
You can purchase 18650 cells that DO have a protection circuit built in. There are two basic types of protection: over-current only (polyswitch self-resetting fuse) and under-voltage lockout.
Both types are protection are intended to be used with products that accept a single 18650 cell. There are many such products available - it used to be mostly flashlights but more and more devices are being manufactured that use a single 18650 cell for power.
The under-voltage lockout protection is extremely useful for cells being used in flashlights because those will happily discharge the cell well below the minimum allowed voltage. This results in the cell being damaged or destroyed - either the capacity is reduced significantly or it simply won't accept a charge anymore.
The 18650 cells that have built-in protection are usually very slightly longer than a bare cell. The end contact is often a gold-plated circuit board.
But do be careful when purchasing these cells. In particular, make sure that you are getting the protection circuit that you want. It truly sucks if you think that you are purchasing cells with under-voltage protection and find that what has actually been delivered is cells with only over-current protection.
Been there, done that.