Can I have protective variants and risk variants at the same time? How can this be interpreted?

Yes, the estimation of genetic risk consists in considering all the disease-related variants that an individual possesses. Each described variant related to a complex trait or disease has a bearing on it. This is why, ultimately, the genetic risk will depend on the type of variants that have a stronger bearing on your results.

If there are few risk variants, but these have a very important influence on the development of the disease, despite having many protective variants, it is highly probable that an individual has an elevated genetic risk of developing the disease.