Yes, the thickbox script needs to be able to access the full image directly therefore you have to disable it if you want to use the protected full image. This has also been stated several times on the forum.
[i]but image is still displayed in full size, [/i]
I don't understand that part exactly, the thickbox shows also the full image, it is just so clever that it adjusts the display to the browser window size.
Btw, if you change the full size setting like watermark you have to clear the image cache to see the effect.