Why does it feel worse to lose against protoss?

It’s not a matter of belief. It’s a matter of fact. Protoss utterly dominates the SC2 pro scene, except for a very small selection of tournaments which just so happen to ban the world’s best protoss from even participating.

You don’t even have to take my word for it. Other sites list similar statistics:

https://liquipedia.net/starcraft2/ESL_Open_Cups

Protoss take first/second 25% more often than Zerg, and Korea has 40% of the ESL cup wins (while the next best country has 16%). This is clear-cut proof that Protoss is better at winning tournaments, and that Korea has the best Protoss.