I would say it depends on why you are sitting under there I have one also and i sit under with a plastic cap to do deep conditioning treatments and protein treatments. In these instances i do not use heat protectant.
But if i am sitting under to simply dry my hair then i do use a heat protectant.
I tend to be overly cautious, but since I tend to use an oil and shea moisture curly enhancing smoothie I would use very little heat protection to keep my hair from being greasy/oily.
For styles to dry I usually sit under the dryer for 15-30mins with it set on high.
But If you plan to be under their longer I would use the heat protection. Then again that's just cautious me.
IMO you should be fine with out it. If you are afraid of loosening your curl, the hooded dryer will not do that. If you are afraid of dryness, deep condition beforehand. Although If you want to be super safe, just make sure that your leave in conditioner has cones in for heat protection.