What you see is the intended behavior. The point of protecting those entries is so they don't show up unless you are logged in and have the right to access them.
But if you just want those to show up in the menus and then have them directed to a page where they can log in, you can use custom links (Appearance > Menus > Links ... input the URL and and Link Text instead of using choices offered in the other sections).
From what you say, I would assume you want to let them have a glimpse without showing the actual content. For that you can either protect the content inside the posts using the [groups_member] shortcode instead of protecting the whole post, or you can lighten the restrictions on post visibility which are imposed by the Groups_Post_Access class, based on the view that is offered of the post. For example, check whether it's an archive and offer the excerpt.