About the only possible "protective coating" would be some sort of acrylic. Sealing styrofoam can be difficult because it is very porous. It wil soak up coat after coat of paint.
I would suggest a couple things:
First, go to your local discount store and see if they sell some cheap craft paints. Many of us here in the U.S. have discovered that Walmart has large bottles of acrylic paints for much less than paints from the hobby shop. They sometimes have goofy names like "Country Gray," "Apple Red," "Barn Red," "Sage Green," "Terracotta," etc., but can be mixed easily and thinned with water, alcohol or even windshield washer fluid for washes or air-brushing. These paints are great for foam, plaster, wood -- even plastic. I you don't believe me, look at the works of Anders Heintz, the fantastic figure painter on this site, who paints almost all of his uniforms with cheap, Walmart paint! (I think it's 44 cents for four ounces.)
Also, if you decide to try to "seal" the foam with acrylic house paint or some other stuff, test it on scrap before you put it on something you've worked. Warning -- almost all canned (aerosol) spray paints are too "hot" to spray on foam and will melt it just as badly as your wash did.