attacus :
However I was wondering what the dangers of an unprotected phone line were during a power surge or lightning strike. Does it damage just the phone (or modem), which I can live with, or can a shock spread to anything nearby ?
First understand why things get damaged. A direct strike to AC utility wires (underground or overhead) far down the street is a direct strike incoming to everything inside the house. Is everything damage? Of course not. It is electricity. To be damaged, the item must have both an incoming path and another outgoing path to earth.
Once inside, a surge hunts for an appliance(s) that makes a best connection to earth - destructively.
Best protection on phone lines and cable is the earth ground - discussed earlier. But not just any earth ground. It must be single point earth ground. That means every wire inside every incoming cable (cable TV, phone, satellite dish, AC electric) must make a low impedance (ie less than 3 meter) connection to earth. The concept is called equipotential.
If any wire violates that requirement, then a surge enters on that wire, goes through the appliance, then is outgoing to earth on one other wire.
For example, a surge incoming on AC electric can pass through a TV, outgoing destructively via the HDMI port and then to earth on the cable TV coax. In this case, damage is often on the outgoing path - HDMI port. And not on the incoming path - AC electric.
Same applies to a router's power brick. To be damaged, a surge must be incoming on AC mains and outgoing to the router. Both incoming and outgoing paths must exist. That surge is in everything from AC mains to earth. But only one items in that current path typically fails - in this example the power brick.
More often a surge passing through ethernet, router, and power brick damages the ethernet port; not its power brick and other parts of a router. Remember, it is electricity meaning an always existing incoming and a completely different outgoing path exist - simultaneously..
Surges can be hundreds of thousands of joules. Many want to block or absorb that surge with a magic box that is only hundreds of joules - ie a interior protector. Will its 2 cm part stop what three kilometers of sky could not? Or course not. Will its near zero joules absorb a destructive surge - tens or hundreds of thousands of joules? Of course not.
Protection is not about a protector. Protection is always about the one item that harmlessly absorbs hundreds of thousands of joules - single point earth ground.
Best protection for cable is a hardwire from that coax ground block, connected low impedance (ie hardwire has no sharp bends), to single point earth ground. Then a destructive surge harmlessly dissipates outside.
Neither phone nor AC electric can connect directly via a hardwire. So a protector does what that hardwire does better. An effective protector always has a dedicate wire to connect low impedance (ie less than 3 meters, not inside metallic conduit, no splices, etc) to single point ground. Then a surge will not hunt for earth destructively via any ethernet devices. Then a surge is not even incoming to the router - or any other appliance including the dishwasher, furnace, RCDs, clocks, radios, recharging phone, etc.
Each protection layer is only defined by what absorbs hundreds of thousands of joules. That is not an adjacent protector. Only earth ground defines each protection layer.
This is how it was done even 100 years ago. So well proven that damage is considered a human mistake. Protection (earth ground) is an 'art'. If a surge does damage, the homeowner then starts with his earth ground to discover where he made a mistake; for example where a wire enters the building without first connecting low impedance to single point earth ground.