The Protein bit of milk is in the Milk Solids - the white part of the milk, which yes does contain the fat globules as well. But there is different fractions of the globules containing different types of the proteins, and the Casein and the Calcium.
And from Raw Milk the fat in milk isn't all that bad.
The tiny bits mentioned above I believe is actually the casein portion of the milk.
Which also leads to the A1 and A2 kinds of milk and why Jersey & Guernsey cows have a different quality to the milk, unlike the modern Hybrid Dairy cows.