The Heavenly Dao Protection—as the name implied—is a form of absolute protection granted to the top 30 Heavenly Chosen that are selected during this trial. As a result, from the Supernatural Realm all the way to the Primordial Spirit Realm, all these Heaven Chosens are excused from death.
No matter the circumstances, as long as they are in the Myriad Emperor World, they cannot die during that period of time. Even if a Supreme Realm True Monarch were to attack any of these Heavenly Chosens, they would not succeed.
The reason for that is that they are under the protection of Heavenly Dao itself. Unless someone has the power to overwhelm the might of Heavenly Dao, then these geniuses will be fine. Because they are the true chosens of Heaven and Earth. As a result of this, after the Heaven Chosen Worthy Trial, the world would turn into chaos for a few hundred years.