Apparently they are protected in some countries like Germany, due to their increasing rarity. I've only ever rarely seen hornets, and not for a few years. I suppose it's their sheer hugeness and consequently belief that the sting will be life threatening, which scares people. In reality it's no worse than a bog standard wasp sting, and you are much less likely to be annoyed by a hornet, wasps are little buzzing bastards, but hornets aren't interested in your picnic!