I would contact Kimber. They show pictures of their guns with the thread protector in place. If the gun was sealed in the original box it may have just been missed in final prep before boxing. If it was off of shelf in a store, The store owner may have removed it and forgot to replace it at sale, Or someone may have sticky fingered it.
Small items, Thread protectors and rear sight elevation wedges have a way of disappearing in stores, Some store owners remove and secure these items till sale is final, Before attaching it to the rifle. Good Luck on solving this problem.