When you're exercising, your building muscle. You should take your measurements and see if they are getting any less. Muscle is much more dense than fat, so if you're losing fat, but gaining muscle, you still might not see the scale move a lot. Go by your actual size. Do your clothes fit any better or different.
Yes, you need protein in the morning, but you also need it throughout the day. You should be sure to include protein with every meal/snack, whether it be yogurt, cheese, peanut butter, etc.
Pump a little weight and decrease calories. Try decreasing sugar and starch calories and eat more vegetables and lean protein. Have protein in the morning, and even better, have protein plus vegetables in the morning. Like make egg scrambles with vegetables.