Its usually a good bet that a load plugged into a surge protector will be protected by the surge protector.
However, that may not be true for loads served through long extension cords. This is a consequence of how traveling ways perform.
A "surge" (as that term is understood by engineers) is a traveling wave. That is, it is a sharp increase in voltage that has a rather short duration - typically measured in microseconds.
So-called "power surges" as that term is commonly used in the new media are not traveling waves but rather step changes in load on the power stem.
The behavior of traveling waves is governed by the surge impedance of a system. When a traveling wave encounters a high surge impedance, it will reflect and reverse direction. There will be a momentary instant of time when the incoming and reflected waves essentially collide with each other, and the result is that the instantaneous voltage at the interface with that high surge impedance will be the sum of the voltages of the incoming and reflected wave. So, in the absence of losses, we can say that the voltage will be twice the crest voltage of the incoming wave.
Now, a surge protector is a shunt-connected resistive device that has a low surge impedance. The effect of a surge protector is to limit the crest magnitude of a traveling wave to the voltage drop through the surge protector. So what happens is that when the traveling wave encounters the surge protector, it effective chops the top off the traveling wave, and allows a new traveling wave to proceed to the load having a crest value equal to the voltage drop through the surge protector.
Now, if the load is close to the surge protector, when the incoming and reflected waves add together, the crest magnitude of the sum of those voltages will be limited to the voltage drop through the surge protector. But if the load is far away (meaning that there is significant inductance between the surge protector and the load), it is possible for voltage that will appear at the load to be equal to twice the voltage drop through the surge protector.
Normally, the native inductance of a line cord of a computer, CD player or other electronic device is low enough that the load appears to be close to the surge protector it is plugged into. But if it is served through a long extension cord, that situation could change..