Took the USP to the range today and after shooting began my cleaning ritual. I was unable to remove the thread protector( only finger tight) . How can I remove the thread protector that seems stuck? Don’t want to use pliers for fear of damaging the protector. Loosening it is clockwise correct?

Get some rubber coated gloves and give it a shot. I believe those are left hand threaded so yes, right hand, clockwise should loosen it. Verify that with someone more knowledgeable than me before you use some torque on it.

What thread is it?  The HK one is a left handed thread, so (as you are looking at the barrel like it's being pointed at you), clockwise is loose.

If it's 1/2" x 28 TPI, the standard US 9mm thread, counterclockwise is loose.

I would:

Spray some penetrating oil into the thread and come back later for another try.

Do you have any rubber grip can openers?  I've used those to get a better grip, and keep the ridges from cutting up my hand.

Heat expands metal and generall makes a threaded connection less tight.  Heat gun would be best, or could put in an over after you've cleaned it, or just put it out in the sun and let it sit.  

If none of that works, take it back to the range, fire off a bunch of rounds quickly to heat it up, and try again.  I've had to do that for stuck on suppressors on rifle mounts.

Get a rag and wrap it around the protector, then use some pliers to twist it off. Worked fine when mine was stuck and didn’t damage the finish.

This.
I have used thick rags, pieces of rubber, cardboard, or anything I could find laying around to go between pliers and something I did not want to mark up/damage. (and not just gun parts)