Based on Fox and Miller's work, one might think it's pretty easy to form protocells, at least in today's environment. You can make them in a frying pan, just boil down a solution of amino acids, heat it for a bit more, then add water. Voilà, protocells! You can imagine a similar process happening on a rock on a hot day between rainstorms. Yet we never find natural protocells. Why?
Because they're tasty! Protocells require amino acids to form, which are commonly produced by living organisms. This means protocells are only likely to form in the wild in places where there is already life present. Life that has spent nigh-countless generations evolving ways to acquire what it needs to survive, usually by taking it from other living things (which have themselves spent nigh-countless generations evolving ways to hold onto these things). Dropped into this adaptive arms race are some protocells, which are made of the basic stuff of life but are absolutely and completely defenseless. Not only have they had no time to evolve, they have no mechanism to do so. They soon become lunch to something which has been around the "natural selection" block a few times. This will happen even in a lab environment; unless the researchers thoroughly sterilize the work area first, protocell experiments must be done quickly before the experimental subjects get consumed.
This brings up an important difference between "real" life and protocell life. Real life has some sort of complex system of storing and processing information (usually in the form of DNA and RNA). This allows living cells to pass information on to their descendants, which makes Darwin-type evolution possible. Protocells cannot do this, so are evolutionarily stilted. This means they are far simpler then any "proper" cell. Their behavior is that of a bunch of chemicals trying to reach an equilibrium, while actual cells will tend to disrupt a simple chemical equilibrium due to their metabolic processes. Because of this, some scientists are unwilling to consider protocells to be a form of life, or even a reasonable precursor of life. Lipids will naturally form into vesicles which can have a bilayer arrangement similar to that of cells. To be considered a protocell, a vesicle must be "...thermodynamically separated from the environment and able to replicate using available nutrient molecules and energy sources." (Morowitz, Heinz & Deamer 1988, 28). This is pretty easy to accomplish by encasing a vesicle in a simple protein membrane (or rather embedding proteins in the natural lipid membrane). The resulting structure (as mentioned above) still has no organelles or genes, and is thus unable to fulfill some of the basic functions of life (not that I know what these are, biologists keep changing them). The jump between a bunch of chemicals, and a bunch of information-laded chemicals, is an important one. It's also not one which we've quite figured out yet (but boy, do we have a lot of theories on the subject).
It is also important to note that, despite that it's pretty easy to form protocells today, that's only because there are a lot of organic compounds floating about. The reason there are a lot of organic compounds floating about is that life has been on this planet (best guess) about four billion years. Miller did show that it is possible that natural events lead to the formation of some amino acids, but not all of them. Fox had to add several other amino acids to the mix to get his protocells. Creation of amino acids via these methods is a tricky thing. Sure, it could have happened, but a lot of scientists are looking for a more likely solution to the "How did life begin?" question.
Deep sea vents are a popular answer. The chemotrophic life found there is quite similar to primitive cell fossils, and the environment surrounding the vents has changed little in the past 4 million years (though the seas have likely grown more acidic or basic, depending on which theory you follow). No one (to the best of my knowledge) has actually dived down there and found protocells, but we theorize the conditions are ripe for their formation. Though we've not yet shown how all of the basic building blocks of life might form down there, studies have shown that these basic building blocks would most likely assemble into cells eventually under those conditions (for example: Claudia Huber, Günter Wächtershäuser; Science, Volume 281, Number 5377, Issue of 31 Jul 1998, pp. 670-672).
So protocells do not present all the answers to the origin of life in a magic box. While many people feel Sidney Fox should have gotten a Nobel prize for his work, others have accused him of not following proper scientific methodology. Regardless, protocells are important because they suggest there can be a gradient of 'alive-ish' stuff. Even if they turn out not to be the missing link between non-life and life, we've learned a lot more from their study then we would have just sitting around, twiddling our thumbs. Isn't that really what science is all about?