OK I have fixed the issue. On the old PC, I saw these messages in the console (repeated for each of the unprotected files):
2020/11/02 22:52:56.866 574 Error - s: D:17<-14 H:17<-14 I:424838.2 IMG_2159.JPG (NonRAW) - JPG Could not open filestream for C:\Users\Remi\Mylio\Téléphones\iPhone 5\IMG_2159.JPG
2020/11/02 22:52:56.866 574 AddFileItemError - clientDevice: 17, serverDevice: 14, clientHost: 17, serverHost: 14, mediaIdInClientHostCatalog: 424838, mf: 2, isClientSide: 0, position: 6, error: Could not open filestream for C:\Users\Remi\Mylio\Téléphones\iPhone 5\IMG_2159.JPG, sendErrorReply: 1, fileNeedsUpdating: 1, source: MYFileServer::readFileBlocks::<lambda_7551142df7149ba60006b1f3ab4fbb23>::operator () (MYFileServer.cpp:2103)
2020/11/02 22:52:56.866 574 OpenFileStreamError - file: C:\Users\Remi\Mylio\Téléphones\iPhone 5\IMG_2159.JPG, mode: rb, initialOffset: 0, sharedwrite: 0, exclusive: 0, err: 2
I displayed all unprotected files, right-clicked on one, Show in --> Explorer, it would suggest two locations: the old PC, and my NAS. The files were missing on the old PC, but were on the NAS. Somehow, Mylio thought the file was on the old PC, but it wasn’t, and wouldn’t copy the files across from the NAS. Weird behaviour.
I copied the files individually and this is now fixed, although it does look like a bug!