What does protocol mean?
It cannot be! The curator's true identity, along with the entities of his three sénéchaux, was almost as sacred as the ancient secret they protected. Saunière now realized his sénéchaux, following strict procedure, had told the same lie before their own deaths. It was part of the protocol.

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Protocol means the standard procedure or rules for that situation. All of the sénéchaux followed the same rules and told the same lie before they died..

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Protocol is a set of rules or order in which something must be done. For example, if a student has a complaint, proper protocol would be to discuss the matter with the teacher first, then have a parent contact the teacher and if not resolved by then, go on to an administrator.

In the text you gave, it was part of their common practice or standard procedures.