They've protected your deposit now, so although they were very 'naughty', there's not really anything you can do about it - and you won't be out of pocket unless they have already tried to make some deductions from your deposit prior to protecting it?
It sounds as though this agency is trying to avoid protecting tenant's deposits, so if any of your friends are with them, get them to find out if their's has been protected. The other thing you could do is go to the local paper about it, ask them if they will run an article to alert other tenants about this agent...
incidentally, I have a feeling that it is the legal responsibility of the landlord, and not directly the agent, to protect your deposit. Although it could be argued that an agency is being negligent if they don't encourage the to landlord comply.
And they shouldn't take 28 days to refund your deposit - being a big agent is no defence at all. 10 to 14 days is a fair and reasonable amount of time.