Shall I say "protector Gods" or "protective Gods" when talking about those small figures that protect the house?
Either phrase is immediately understandable to a lay audience, and a quick survey of Google Books reveals that both are used in academic works to refer to the best-known of such deities in the Western tradition, the Roman lares and penates.
If you are writing in an academic context you would do well to survey whatever literature in your discipline deals with the particular deities you will be writing about. If this shows that one or the other term (or some entirely different term) is the established "term of art", you should use that one. But aside from established local use there is no reason to prefer one over the other.
Anglophones in general don't tend to believe in/speak of such things - but if we have to, we'd probably call them house[hold] gods.
If it's important in OP's context to include some variation of protect, I suggest that protector is probably the better choice. It can easily be understood to mean something/someone intended to protect (without necessarily implying that any actual protection is taking place).
On the other hand, protective strongly implies something that really does protect. In principle, a writer could use that form with the sense that people who have such talismans believe in their significance, but I think most readers would assume the writer also believed in them. If OP wants to give that impression then of course he can call the figurines protective gods - there's nothing ungrammatical in such usage.