Where in the New Testament does He say He will protect the Jews? He says of His Church (NOT the Jewish faith anymore, because they rejected Him as the Messiah), in Matthew, “The gates of hell shall not prevail against it”. That doesn’t mean they won’t be rattled a bit! I can’t say I’m any sort of apologist or Bible expert, but Jesus told us to expect persecution and suffering. “Take up your cross and follow Me”. So yes, He will protect us
all, but it’s not some sort of bubble that is perpetually around us. He does it in the way He sees (and knows) fit.

As far as the Jewish-promise aspect; The Jews have quite a history of persecution and suffering. That doesn’t mean God stopped protecting them and broke His promise at
any point in time. They turned from Him (in various examples throughout time),
ignoring the protection He offered, and therefore suffered the consequences. I imagine a cup He gives us and wants to fill. If we keep dumping it out and not letting Him fill it, it’s not His fault! If anything, your faith should be strengthened by this dogged love He shows for us.
So after a lot of rambling, the Holocaust, horrendous as it was, was just one of many trials the Pilgrim Church will go through, just like He said.