We don't know if protoceratops had the same quills as psittacosaurus. I think those quills first evolved in heterodontosaurids and it's possible the later ceratopsians lacked those quills. We'll have to find more fossils to find out.
Let me ask you this: Why would they lack them? Why? What is one good reason for them to have lost them? There is none.
Evolution does not just remove large traits such as the entire integument of an animal unless there is VERY strong pressure against it. Look at the amount of mammals with no fur at all, I mean, even elephants and naked mole rats have it, in fact, aquatic mammals are the only mammal species I can think of without any form of fur. Even if there was some pressure against large quills, the odds of them disappearing completely are unrealistically small, this we can see just by watching the way integument has evolved in modern animals possessing analogues of it, meaning feathers and fur.
Oh and another thing. I don't think mammalian integument is a good comparison for the quills on psittacosaurus. It is unlikely they were used for thermoregulation like fur and feathers (one interesting suggestion I've heard is that psittacosaurus was semi-aquatic and the quills were covered by a layer of skin and formed a "fin"). From what we know so far, they seem to be confined to the tail. They were probably used for sexual display.
You're completely ignoring the fact that the quills were located on the tail, not covering the entire body. They weren't used for thermoregulation at all. You're statements on hair loss in mammals doesn't apply to quills that weren't used for thermoregulation. Hell, similar quills were found on Tianyulong, a Heterodontosaur. This suggests they're a primitive trait. The earliest known Ceratopsian is Yinlong, which shares some features with Heterodontosaurs. Yinlong probably had these quills too. Maybe the quills were lost in favor of the head crests and horns on later Ceratopsians? Maybe they weren't. The point is there is no way to know for certain. Stop acting like you do know for sure. Were they homologous with feathers? We can't say yet. It's still possible they evolved independently like the pcynofibers on pterosaurs. As for Kulindadromeus, some of the structures on that animal are unlike those of any feathered dino known so far (the ribbon-like structures on it's lower legs). In my opinion this doesn't suggest a homology. The quills on Ornithischians could have first arose in Heterodontosaurs or something similar and could have took on a thermoregulatory role later on in primitive Neoornithischians (maybe they were a forerunner to the armor on Stegosaurs and Ankylosaurs?).but I could be wrong. Unlike you, I'm not pretending to know anything for sure.
I think you must have misunderstood something, I am not claiming to know anything for sure, but I do know it better than you are letting on. No, the quills on Pisttacosaurus were not used for thermoregulation, they were probably used for display. Are you going to claim that fur is never used for display? Probably not. Okay, so, are you going to claim that ALL animals with fur use it for thermoregulation? Probably not. Now, are you going to claim that all animals with fur even NEED it? Probably not.
If a trait is ancestral, unless a solid reason for it to have de-evolved is found, assuming that it is still present is the default. If I put a box on the floor of a room while you are watching, and we then leave the room, only to come back a day later, and I ask you, right before we enter "do you think the box is still there?", your answer would probably be "yes". You could not be certain, but in the absence of evidence to the contrary, with no signs of broken windows and the door locked, you will assume that the box is still in there. Likewise, in the absence of evidence for the loss of quills, we will assume that they are still present.
But you are comparing tail quills that probably weren't used for thermoregulation to fur that covers the entire body of an animal thats unrelated to Psittacosaurus. That's like comparing human eyes to frog feet.