I recently purchased Progenitus with the intent to use it as a commander. However, it has been long enough since I’ve played the commander format that I do not remember how commanders and their abilities affect gameplay.
His protection from anything works the same as it always does. His second ability can be avoided, because anytime that he would be going to your graveyard, you have the option to send him to your command zone instead. You could choose not to do so and then his second ability would take effect, shuffling him into your deck. That would generally be less helpful than having him available in your command zone, but there might be exceptions. One advantage would be that if you were able to draw him from your deck, you could play him again without having to pay the extra cost associated with playing him from your command zone for the second (or more) time.