I had the same problem - those "bulbs" don't look like protectors, they look like part of the connector and delicate ones at that! Why don't they make this clear on the packaging for these things?? I'm apparently not the only one who was confused - I bought it from cablesforless.com (great price at least) and there were absolutely no instructions or info at all!
The good news: I had ignorantly been using stereo RCA's to connect my BluRay to my Bose 3-2-1 system and not getting the full benefit of the 5.1 surround technology. Now that I finally figured out how to connect the damn optical digital cable, it sounds amazing! Worth the aggravation, but still...