Some things we can learn from being told. Lessons like, 'don't stick your hand in a fire' and 'don't jump off the roof' are pretty easy. Most of us wouldn't do it anyway, but a simple verbal reminder will get the job done. Some lessons are a little harder for us to learn. "If it's too good to be true, it probably is." How do you help somebody there?
Your friend is presented with an incredible opportunity. You happen to know that it's a sham, but your friend is too dazzled to listen to reason. But is your friend open to lies? What if you said that the person offering the opportunity was a convicted felon who went to jail for pulling this stunt before? You say that you looked him up and found a news article about him. Your friend now avoids a potentially disastrous situation, but only because you did something generally accepted as bad.
The lie of protection is generally considered a naive act. People need to learn things, and that happens from experience, not from being sheltered. But people keep doing it because they don't want to see their loved ones get hurt.
Is it possible for somebody to lie in order to protect, but do so in a way that does not end up sheltering the protectee? (I'll give you a hint: the answer is yes. Tell me how, when you figure it out.)