Do I need a protection diode here?
The resistor across the coil is a snubber, which will dissipate the extra energy and make sure the coil voltage never exceeds I*R, where I is the relay's "on" current.

Depending on R and I, you are completely safe, or you might see a controlled low-going transient at relay switch off.  Notice high-going spikes won't be seen outside of the relay -- the series diode prevents it.

I wouldn't worry about it.  You're not going to see the kind of uncontrolled spike that you get when a bare coil is looking for a place to dump its energy.