Note that the findings don't say "those who went to the protests did not catch the virus or transmit it to others". They just say there wasn't an overall spike after the protests.
The fourth bullet point addresses this directly:
"The study’s lead author, Dhaval Dave of Bentley University, said, “In many cities, the protests actually seemed to lead to a net increase in social distancing, as more people who did not protest decided to stay off the streets.”"
Also, though it isn't part of the NBER working paper, the Forbes article mentions that:
'the Minneapolis Department of Health reported that more than 15,000 people were tested at centers set up in communities affected by the protests, and 1.7% of tests came back positive—below the statewide average of about 3.6%. According to the Washington Post, protest attendees in Minneapolis returned positivity rates of less than 1% and that “officials believe the low infection rates reflect that the protests were outside, that most people wore masks and that people spent most of their time in motion, circulating through the crowd.”'
The fourth bullet point addresses this directly:
"The study’s lead author, Dhaval Dave of Bentley University, said, “In many cities, the protests actually seemed to lead to a net increase in social distancing, as more people who did not protest decided to stay off the streets.”"