Protected Mode, V86 and Real Mode are not directly related to EMS as you can have virtual or physical EMS in all three.
However, if you have EMM386 loaded, your DOS session is automatically in V86. EMM386 uses Protected Mode to provide both virtual EMS and UMB but makes your DOS session run in V86. With NOEMS, then EMM386 will only provide UMB (for DEVICEHIGH and LH). If you use UMBPCI for UMB then you can load EMM386 (or JEMM386 since it can unload itself) only if you need EMS.
This can conflict with games that can't run in V86 while needing EMS but luckily there's an alternate way to have virtual EMS in real mode: EMS Magic. Version 2.1 is free so you can try it out (although I haven't had any luck with getting it to work and only an older version works for me. None of the games I play conflicts with JEMM386 EMS though so I just use that now).
As for Protected Mode, generally games will switch to that mode and then back out on their own. There are subtleties with VCPI and DPMI but you really only need to deal with it if it comes up in the rare occasion it does and there is plenty of information in the forums with the details.