Basically what this pdf says is that a few concerned citizens mailed the FBI the Protocols as a tip and Hoover politely responded that they consider the documents fabricated. Looks like the FBI retained the attached copies along with the correspondence. https://twitter.com/FBIRecordsVault/status/1296144912497352705 …
I mean this was a time before the internet where presumably not everyone was familiar with the contours of every conspiracy theory.