It means EXACTLY what it says on the tin!
Whatever you are training, you MUST protect yourself on the entry, on the technique/s and on the exit.
For self defense, this means keeping a good 360 at all times possible.
For sports Combat it means on EVERY SINGLE engagement with your opponent.
You MUST practice this in EVERY aspect of your training!
Shadows, Drills, paired up work, heavy bag, shadows (most shadows in total BS), sparring and of course in the fight!