Did some testing on this, and we were able to get it working as you described where they are not able to ping one another. What you will need to do is place the ports in the same group. So ports 39 and 40 will need to be placed on the same group and then they should not be able to communicate with each other. 
Hello!I have question regarding Protected Ports on Dell Powerconnect 6248.What I want to achieve - two devices one connected to port39 and other to 40 can not talk to each other. I assumed that this can be done straight forward with "Protected Ports" feature.So I created:switchport protected 0 name "A"switchport protected 1 name "B"interface ethernet 1/g39switchport access vlan 3switchport protected 0exit!interface ethernet 1/g40switchport access vlan 3switchport protected 1exitSome testing - connected one device with IP 192.168.7.10 (random IP from local IP address range) to port39 and another device with IP 192.168.7.11 to port40. When I perform PINGs these devices can ping each other.What is wrong with my configuration or "Protected Ports" works in different way?And why there is groups (in example I created A and B) - in manual I cant find any explanation on them.
Private VLAN Edge / Protected Port