ok, I'm not sure if it is super easy to see through screenshots rather than use, but here it goes. The first screenshot is the image before burning, the second I've put two thick lines of burn through the image, the top one with protect hue off, the lower one with it on, both at 100% opacity and flow (not what I would actully use but it seems to show what I'm talking about.
focusing on the bottom one, it looks to me as though the burn tool is not 'burning out the shadows, as much as putting a dark grey brush stroke over the top. the blacks do not go super black, but rather just a slightly darker grey. with the way it treats highlights, it looks to my eye more like I had 'midtones' selected, and everything comes out looking more grey than burned in. Hopefully, that makes sense...