I would suggest that you protect the deposit now as you will be unable to issue a Section 21 until the deposit has been protected.
As the deposit was not protected in the stipulated time, the tenant can still claim 3 times the deposit through the courts, whether it is granted, is another matter.
In future, I suggest you protect the deposit ASAP. You can do this a number of ways. In the event the tenant is in arrears, you will be able to submit a claim to the TDS for the sum owed.
I hope this answers your question. If so, kindly rate the answer and provide feedback.
If you have any further questions, please do not hesitate to ask.