I am a relative newbie who cannot really add much to what the experts here have already said.
I have read, however, that the quality of the various XXXX-Fire brand flashlights is hit and miss. Even within the Ultrafire brand, there are different manufacturers (and knock-off makers) producing products of varying quality. Sometimes the ones that say they have a low-voltage cutoff do not. For this reason, using a protected battery in one of them might be a good idea.
I don't know a thing about the Ultrafire WF-501B you have, but the fact that you have used it for years is a good sign.
You can test yourself to see whether it has a functioning cutoff. Just put in an unprotected battery, and turn on the light. Stop periodically to carefully monitor the battery with a volt meter. If the voltage falls below about 2.8v, you should stop the test. It is likely that the flashlight does not have a cutoff. On the other hand, if the flashlight cuts off before then, you probably have a working cutoff. Many of the good ones will cut off around 3.0v or higher.
If the voltage of a battery falls below 2.5v during your test, you may have a problem. Your battery may (or may not) be damaged, and it could be dangerous. Be careful. HKJ reports that a large number of batteries are rated to go down to 2.5v. There are some models, however, for which that can damage a battery. With those models, you might damage a battery at the higher voltage (typically around 2.8v or above) stated by the manufacturer.
IIRC, HKJ stops his tests at 2.8v, and so should you.
With Li-ion, battery life can be extended by avoiding extremes of charge and discharge. In general, therefore, you want to recharge a battery when its voltage falls to around 3.0-3.1v. This is true even for batteries that are rated to go lower. For this reason, I see little advantage in using unprotected batteries. In a flashlight, the only time unprotected batteries are absolutely necessary is in high-power/high-current models or in devices where protected batteries are too large to fit.
Think about what has to go wrong these days before a modern airliner crashes. When equipment, rather than pilot error, is the cause of a crash, most reports indicate that two or three systems and/or backups failed at the same time. It usually takes more than one failure to bring down an airplane.
That's how I view my decision to use protected batteries (when I can). Sure, most of the lights I use already have a low-voltage cutoff. If my flashlight circuits fail, however, and a flashlight does not cut off properly, I have a backup.
Of course, with unprotected batteries, you also have a backup. It's the person running the light. Actually, he or she is the primary protection system. If one notices a light losing its brightness, then it's probably time to recharge. The cutoff protection built into a flashlight is usually just a backup. With protected batteries, you have a second backup.
I tend to discount anecdotal reports of users who have switched to unprotected batteries and have not experienced a problem. What happens to one careful person using a hundred or two hundred cells is not indicative of general circumstances. When they are used carefully, Li-ion batteries simply do not fail that often. The reason I use protected batteries is to reduce the odds that I become the one person in ten thousand or a hundred thousand who gets into trouble.
Just my two cents. YMMV.