Paul DePodesta explains why it's not always the best idea to protect a player by putting him on the 40-man roster:

When weighing the risk of a player getting taken, it can be counterintuitive. It would seem logical that the best way to protect a player would be to put him on the 40-man roster. That is often, but not always, the case. Sometimes, for players who are borderline roster considerations, you may be safer by leaving him OFF the 40-man. The reason is that if he's taken in the Rule V, he has to stay in the Majors or else be offered back. However, if for some reason (add a free agent, add someone through trade, need someone during the season due to injury) you need to add a player to the 40-man at a later date, you may be forced to outright someone to make room. When you outright a first year roster player, he still has all of his minor league options, so teams can claim him and send him right into their minor league system. In short, it's much easier to lose a player trying to remove him from the 40-man than it is to lose him via the Rule V draft.