So either copyright protection is an even bigger joke than I thought or EAC is even cooler than I thought.

Yeah, when a piece of software lets you burn a copy-protected file to an un-copy-protected medium like an audio CD, then yeah, it's a bit of a joke isn't it?

(EAC isn't doing anything special there, by the way.)

The only issue is that you've just taken something that was already lossy-data-compressed (WMA), then added another layer of lossy data compression (MP3) to it. So you don't have an exact copy of the original at this point. Then again, the WMA file wasn't an exact copy of the original to begin with, and the differences (assuming that you used very high quality settings at each stage) are going to be very slight.