Protective Rexy dolls appear as claw machine dolls and bag-strap decorations in the opening cutscenes, without its arcana mask.
Protective Rexy is found in the 9th Chapter of the Void Quest within the Midnight Channel. It always appears alongside either the Ardent Dancers or the Monomaniac Fuzz Shadows. Its two skills, Tetrakarn and Makarakarn, give the Protective Rexy its name. It is highly recommended that the Protective Rexy be destroyed first because of its use of Tetrakarn and Makarakarn on other Shadows. Upon defeat, Protective Rexy may drop the Guard Cloth material. Selling 10 Guard Cloths at Daidara will unlock the Kid's Hachimaki accessory in the shop.
In Persona 4 Golden, it appears in Chapter 5, 8 and 9. It may drop Bloodstone for trade at Shiroku Pub.
Persona 4: Dancing All Night
Protective Lexy appears as a Shadow in the audience when performing on the Midnight Stage.
Just like in Persona 3, Protective Lexy dolls appear as a prize from the claw machine in Akihabara's arcade, without its arcana mask.