Are you talking about filenames with consecutive periods (../foo/bar.txt) or non-consecutive periods (foo.tar.gz)?

I think the latter (non-consecutive periods) is blocked if the "Exit if bad files are uploaded" setting in the Protector module preferences is enabled. This is implemented in Protector::check_uploaded_files() in trust_path/modules/protector/class/protector.php.

I have this setting disabled.

The former (consecutive periods) is blocked if the setting "Protection from Directroy Traversals" is enabled. This is implemented in function protector_prepare() in trust_path/modules/protector/include/precheck.inc.php.

This applies to Protector 3.04. I haven't upgraded to 3.1 yet.