I double answered your double posted question.
Much of the protein that is in the grain itself is in the germ and the polycarp layer of the barley kernel. The germ obviously gets left behind in the mash/lauter tun in it's solid form so that doesn't make it into the wort. The Alerone layer contains 30% of the barley kernel's proteins and releases some of those as our amylase enzymes during malting (so some of the protein content is tied up in enzymes) but some of it gets left behind in the husk. -This is why higher enzymatic power malts have higher protein contents and vice versa; much of the protein content IS enzymes.
The alerone layer is also releasing proteases during the malting process which are breaking down high molecular weight proteins into medium weight proteins (the ones that aid head formation / retention) and then further break down those medium weight proteins into amino acids and free amino nitrogen which is our natural yeast nutrient.
Well modified malts like pale ale malts and munich malt have these proteins broken down further and more of the proteases denatured than less modified lager malts which have more and higher weight proteins but also more enzymatic power / proteases available (see why a protein rest is recommended on these?).
As Bensiff stated the nonsoluable proteins come out of solution / form complexes via hot and cold break (and they're even less soluable at lower ph) so they get left behind.
I'm not sure why you think that more protein is a good thing; high protein levels are certainly responsible for chill haze and general product instability. The high molecular weight proteins are the ones that combine with polyphenols to form chill haze, the medium weight proteins are the head forming proteins and the little amino acids are our yeast nutrients.
Even very well modified malts have plenty of protein in the form of enzymatic power, have enough protein to provide a good head, and provide enough amino acids for yeast nutrition so focusing on increasing finished protein levels will probably decrease your beer quality over all; not increase it.