This has happened to me too. I have tried all kinds of blenders from expensive to cheap. Blending by nature is going to introduce air into your shake, and the longer you blend the more air you're going to have.
For me, without skimming, this resulted in a lot of gas and bloating, so I went to a shaker and skim the foam and it all seems to work fine. The last thing I need is more gas.
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Gas also seems to cause more diarrhea as well since I believe it interferes with the proper coagulation of the crap. If I feel bloating and a buildup I just take a Phazyme (simethicone) which seems to help.
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To answer your question I would guess a extremely small amount of protein is lost.
Good luck.