Yes there is. Protection from X means "this permanent cannot be the target of a spell, enchantment, etc., with X as one of its qualities". Typically, a card will have protection from a color, meaning it can't be targeted by a spell with that color, blocked by a creature with that color, enchanted by an aura with that color and so on.
However, spells like Wrath of God do not have targets: they affect everything indiscriminately. No creature can prevent being destroyed by Wrath of God, no matter if it has protections, shroud, anything (unless it's phased out or otherwise removed from the game at the time).
Also, spells that say "Target player sacrifices a creature" are not targeting the creature: they target the player. If Progenitus is the only creature on the board and they're told the sacrifice it, they have to sacrifice it. End of story.
You mention Mirrorweave, which is actually quite interesting. It is an AoE (area of effect) spell, like Wrath of God, so it affects Progenitus. Also, because it turns Progenitus into a copy of some other creature, it removes its protection as well as its triggered ability, I believe. That may be one of the only ways of destroying it for good.
Bottom line, Progenitus is not invincible: just tough to deal with if you're not prepared. I would suggest lots of flyers to circumvent him as a blocker and make every effort to kill your opponent within the next two turns. :)
Other cards that affect Progenitus: Cumber Stone, Naya Charm, Austere Command, Cryptic Command, Damnation, and so on