Why didn't Harriet Vanger look for protection with Henrik?

She was going to, but Henrik was too busy with corporate business and might not have been able to protect her anyway

In the original story and also in both movie versions the problem was Henrik was too busy with corporate affairs. And he might not have been able to offer sufficient protection anyway.

While Henrik had always been kind to her (which implies she could have gone to him for help) on the day she disappeared she had been trying to talk to him but he was too busy dealing with Vanger corporate shenanigans. WE don't really know whether she would have made a different choice than to disappear on that day if he had met her and listened to her story.

Also, she may have judged that even Henrik could not have offered sufficient protection against her brother who had recently reappeared (he had been in a distant boarding school which prevented him from mistreating her). Indeed his reappearance was the triggering event for her disappearance.

Also she may have felt unable to tell the whole abuse story to her uncle as she would have had to admit her complicity in her own father's death. This would have limited her ability to explain the whole story to her uncle even if she had gone to him for help. Furthermore, it is possible that she did not have a complete picture of the involvement of other family members in the dark deeds they committed so would not have been able to fully trust anyone. Remember that, by the time the story unravelled because of Blomkvist's investigations, Martin turned out to be carrying on the family's dark deeds. Though she certainly knew some of the things that had happened to other women and had suffered from some abuse herself, she might not have had the full picture.

Given that her disappearance prevented anyone else in the family looking for her, she was limited in what she could do. So she could not openly contact Henrik for fear of revealing her existence and location to other members of the family who would be motivated to find and silence her to prevent any revelations about their activity being released. And she was right to be suspicious as Martin was prepared to kill Blomkvist to keep him silent!