When the assassin picks his victim... that person loses his turn... does he still protection from the warlord?

When we read the rules, what we got out of it was that you can only use special abilities if you have your turn (like the king cant get the crown if he was assassinated). But since protection from the warlord isn't something you get on your turn anyway, I'm not sure if that would apply.

I'd like to know the answer as well.

The only protection from the Warlord I'm familiar with is the Bishop (not including protection from district cards, which can't be assassinated so I'm guessing they're not at issue here.) The Bishop's protection, as a character ability, is most definitely not activated until the Bishop takes his turn, and would not be activated if the Bishop were assassinated.

Note that the Bishop is #5 and the Warlord is #8, so if the Bishop is coming out to play in any given turn, he will always do so before the Warlord arrives. The question of whether or not anyone is protected will thus always be determined before the Warlord has opportunity to start destroying things.

If the Bishop is dead, he's no bishop any more and isn't protected from the Warlord.

I have always played that if the Bishop is dead he does not provide protection as well.

the Bishop can be Assassinated and as stated in the Errata

"Can the Warlord destroy a building of a murdered Bishop?

A: Yes. Since the bishop is not present he is not able to protect his districts."