Except that those "protected" lights don't neccessarily mean anything other than they put a light on there that says "protected"....see here:
http://www.zerosurge.com/truthaboutmovs.cfm?PType=Res
The "protected" light also doesn't tell you anything about the remaining surge capacity or integrity of the MOV's, even if it is accurate. Obviously, the website above has only one side of the story to tell, but the point is that their design is superior to cheap MOV based surge protectors (as are UPS's, etc)
But I mean it's up to each individual obviously - if you feel that the "protected" light on a $40 surge protector is good enough, then it's good enough I guess.
To be honest, modern electronics need good enough power that their power supplies are pretty beefy and do a lot of filtration themselves, and our power is pretty good - I don't know how many household electronics in Alberta succumb to surges in metropolitan areas. It can't be that frequent an occurence anyways.