Faith's Shield targets a permanent regardless of how much life you have. If that permanent is an illegal target when Faith's Shield tries to resolve, Faith's Shield will be countered and none of its effects will happen. Neither you nor any of your permanents will gain protection from a color.

You choose only one color (not one color per player and permanent). You choose the color as Faith's Shield resolves.

A player with protection from a color can't be damaged, enchanted (including by Curses), or targeted by anything of that color.