When I buy an electrical gadget, it often comes with a moulded plug
protector - three joined-together plastic sleeves that slide over the
pins.

Just out of curiosity, can anybody explain precicely what hazards these
protectors are protecting the plug from ?

It seems to me that the plug is relatively free of hazards while it's
cocooned inside a specially moulded polystyrene shipping crate within a
cardboard box. It only faces hazards once I've taken it out of the box
and the protector has been chucked away - and even then it seems to
withstand all that it's subjected to and keeps on working.