Quote from willdice »8/25/2017 If a player has protection from everything, it means three things: 1) All damage that would be dealt to that player is prevented. 2) Auras can’t be attached to that player. 3) That player can’t be the target of spells or abilities.
8/25/2017 Nothing other than the specified events are prevented or illegal. An effect that doesn’t target you could still cause you to discard cards, for example. Creatures can still attack you while you have protection from everything, although combat damage that they would deal to you will be prevented.
Captive Audience doesn't deal damage, doesn't target, and it's not an Aura, so it can enter the battlefield under the control of the player with protection.
Quote from Rezzahan »Now, if that player is also enchanted with Paradox Haze and thus has another upkeep after the first one, and resolves Teferi's Protection during the first upkeep, I don't know. I think, that you can still choose that option and it will just fail to do anything, though.
Quote from willdice »
I'm inclined to believe the mode can be chosen (as the game won't assume the effect is still impossible by the time the ability resolves), but I'd like something concrete confirming this.