Hexproof only helps against targeted spells and abilities. Bringer of the Last Dawn's trigger does not target. A spell/ability is only targeted if it uses the word "target" to identify what is going to be affected. Targets are chosen when the spell/ability is put on the stack, so that all players can make an informed decision about responses with the targets in mind. But, just being affected does not make a player or object a target. Players and objects can be affected without being targeted. If there is a choice to be made about what is affected by those spells and abilities, that choice is made on resolution. Responses have to be made without knowing that choice. And the original intended choice can be abandoned/altered to account for the changed game state when the spell/ability finally gets to resolve after the responses. Otoh, targets cannot be changed once selected.

Even protection does not help against most untargeted effects. Since it does not mean "can't be affected by X", but rather protection has four specific things it does. An effect that does none of those will get through protection, even protection from everything.

Also happens with certain spells and abilities, making me return attacking creatures to my hand and other things like that. What’s the point of having a protection spell if the protection spell doesn’t work