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There is a HUGE difference between protein and anabolic steroids.
The most basic of all is that protein is a macronutrient available in the majority of our food and beverage (dietary) choices, through which regulation of this would totally unreasonable, and impractical. Not to mention, your body only requires a certain amount of protein. The recommended daily intake (RDI), and the upper level (UL) for protein, once exceeded, means that any excess intake becomes useless for structural and functional purposes - instead it can be detrimental to the athlete - if energy intake exceeds that which is used, it'll be converted into glycogen, or stored as body fat (depending on glycogen levels). This effectively shows that supplementing with protein is almost ineffective (or detrimental) if over consumed , especially when you consider that it is easily derived from whole food sources.
Anabolic Steroids, on the other hand, is a completely different situation, with completely different physiological impacts. The two are not remotely comparable at all.