Safeguard caps damage at the listed %. Protection reduces damage by the listed %.
So if you have 100k health 3% safeguard they can only take 3% of their health or 3k damage per hit. But some types of red or burst damage get past this. You can also use AAR to ignore this (assuming there isn't another node or ability that negates AAR).
If they have a 10% protection, it just reduces all damage that you do to them by 10%. So if you hit for 10k they take 9k damage.
Protections can also stack, so like a protection node with Deathless thanos' own protection will add up to you doing zero damage. I don't believe (but could be wrong) that there is any way for safeguards to stack.
I also do not know if protection stacks on safeguard. Probably does, but I do not know what the order of operations would be for it.