Hi,
I faced the same problem today and finally got an answer. I was able to remove Privacy Protection from Godaddy domain by logging to domains by proxy with the username and password and then cancelling the service. The request was just made and now I'll want until renewing the domains in Godaddy panel.
The fact is that this should be done in a separate site, and you need to find your old emails because the username for Domains By Proxy is not the same as your Godaddy account.
The password will remain the same, unless you later change.
Hope this helps. Thanks.