Why don’t most Protestants make the Sign of the Cross?
Shrug, probably because its too Catholic looking and because it might be taken as an expression that they believe in works and it might cause them to perspire either by that work or by sweating the embarrassment in explaining their actions to their peers?
It’s all part of Protesting Catholic beliefs and in particular indulgences. Most Catholics have forgotten that making the sign of the cross with reverence and saying the words “In the name of the Father, Son, and Holy Ghost” was a 50 day partial indulgence (but now just left unspecific as “partial indulgence”).
So not crossing oneself is a protest - albeit passive and never noticed by anyone except by exception.