It sounds like you have your modules\_protected\CMS\web.config in your project (.csproj file), but it does not exist physically. Can you check?
I second what Quan said. FYI I use https://marketplace.visualstudio.com/items?itemName=DavidGardiner.ShowMissingFiles which is a great way to check across the whole solution for this issue
Did you find a solution for this?
Here is the message I got when I try to publish episerver.
Error : Copying file modules\_protected\CMS\web.config to obj\Release\CSAutoParameterize\original\modules\_protected\CMS\web.config failed. Could not find file 'modules\_protected\CMS\web.config'.
I tried to add protectedModules section in my web.config as someone suggested but still cannot publish.