After rebooting my Exchange server because of DNS issue, the DPM protection stopped. Further investigation found this in the event log:
The DPMRA service terminated with service-specific error 10048 (0x2740).
Google found this:
Essentialy you use 'netstat -oan' to find the PID of the process using port 5718 or 5719, which are both required by DPMRA.
Then use 'tasklist' and 'tasklist /svc' to discover which process it is. In my case, it was the MS Exchange Information Store.
I fixed it by stopping all Exchange services, starting DPMRA and then restarting Exchange.
It's kind of weird that MS Exchange can use the DPMRA ports when DPM is speciffically for protecting Exchange (amongst other things).