"Protection from enchantments" means that Azorius First-Wing can't be enchanted, it can't be targeted by Aura spells or by abilities of enchantments, all damage that would be dealt to it by enchantments is prevented, and it can't be blocked by creatures that are also enchantments.

If an effect tries to move an Aura onto this creature, the effect will fail and the Aura will stay where it was.

Azorius First-Wing doesn't have protection from creatures that are enchanted.