Less protection? So you are saying all those in Small and Medium sized helmets are less protected?? <grin>

I'd just look at it that if the helmet is too loose on your head it might roll to expose your head before the maximum impact force is encountered. Or if too small and your head squeezed into it un-uniformly, you might be spreading the forces of impact unevenly and have parts of your head taking too much of the force.

But I'm really guessing. I've no idea.

Just get one that feels comfortable when you try it on. If you are going to wear a sweatVac or something under it, then make certain to account for that. If you ride in the drops, you need to lean forward and make sure the brim of the helmet isn't going to make you crane your neck too much trying to see down the road.