There are 2 components to setting local protection. The Local Protection setting just defines what is protected when local protection is enabled. If you havent already, make sure you enable local protection by holding the light dimmer up button and pressing the light on/off button 8x.
Association Group 2 is tied to the light dim up/down buttons. Pressing the light dim up button 1x will send a basic set command to turn on associated devices. Pressing light dim down will likewise send basic set off command.
Association group 3 is tied to the status of the light itself. It will send a multilevel set command that matches the state the dimmer itself is going to. If the canopy lights are off, it will send the on command, and if they are on, it will send the off command. If you disable the local protection, this association group may not be as useful (since the canopy light is locked to a certain level, it will always send that value to the associated devices). Since zwave does not have a “toggle” command, it is much more difficult to implement a toggle feature using a single button. If your intent is to use the light on/off button to toggle lights, it may be better to use scenes to trigger an automation.
Association group 4 is used for dimming. Holding down the dimmer buttons should change the brightness level of associated devices.