There are 2 "targets" here. The damage source and the place where it will be redirected to. Once Pyroclasms damage is on the stack, you get to choose which four damage to redirect (you can save up to two creatures if all are 2/2 and 4 damage is dealt). Then the "new" target gets four damage.
There is only one target; the source of the damge is
not a target. Otherwise, Protection could actually prevent the damage from being redirect (which is why CoPs work as well).
But, you can choose what damage is presented here, and could prevent 1 damage from being dealt to each of the 4 creatures. This would save all 4 of the 2/2s, as each would only have 1 damage on it. You could, of course, prevent 2 damage to each of 2 creatures, thus killing 2 of them and with the other not having any damage dealt to them. Ephraim is correct here.