There's no one-size-fits-all answer to "is this normal." Moreover, whether something is or isn't "normal" is generally meaningless.
As far as whether what happened in the particular case about which you're asking was "allowable," that depends on a lot of facts not included in your post (in particular, the specific terms of the protective order you mentioned). For starters, a deposition is an event, and an event cannot be filed with the court, so your assertion that "the whole depo" was filed is obviously incorrect. What I assume you meant was that the entire transcript of the deposition was filed. With that in mind, you should be aware that transcripts of depositions are rarely filed with the court. More commonly, excerpts from transcripts may be attached as exhibits to motions. Sometimes, entire transcripts will be lodged with the court (which basically means that custody of the transcript is given to the court, usually for purposes of a trial, but it's not part of the court's publicly available file). I, for one, can't think of any good reason why an entire transcript would be filed, but that doesn't mean it doesn't occasionally happen and for good reasons.
As far as "irrelevant" "embarrassing" questions, the scope of permissible discovery is far broader than what is relevant. See Fed. R. Civ. P., Rule 26(b)(1). If, during the course of a deposition, the attorney asking questions strays too far off the path of relevancy, the witness (or his/her lawyer) can object and, under appropriate circumstances, refuse to answer certain questions. If the examining attorney believes the objections are not well taken, he/she can file a motion to compel further testimony. "Embarrassing" questions are not off limits at all. Lawsuits often require testimony about things that are embarrassing. In appropriate cases, a party who is concerned about such thing can seek a protective order.
You didn't say whether you're a party to the case about which you asked, but I assume you are. If so, and if you believe it was inappropriate for the plaintiff to have filed the transcript, you can file a motion asking that the transcript be stricken from the court's file or sealed.
Although things filed in court are technically public documents, unless filed under seal, it is extremely rare for anyone to access such records unless one of the litigants is a celebrity. If the court had previously ordered the record sealed, the public should be prevented from accessing the deposition by the clerk. I agree that depositions are not normally filed with the clerk although relevant parts may be used as exhibits at trial or hearings.
First of all, depositions are not filed with the court. The attorney is allowed to ask questions about the incident, and about anything related to the incident and anything that might lead to discoverable evidence. If he goes to far afield your attorney will object.
You often have protection from retaliation for reporting potential violations of the law to government agencies. There are some federal laws that protect employees from retaliation for reporting suspected law violations (simply being “unfair” isn’t enough, it has to be a violation of the law) in house, but the circumstances are limited. If the employer is a SEC reporting company (e.g. has stock or securities that trade publicly) or is a financial services company like a bank, mortgage company, etc., there is some protection from retaliation for reporting those suspected violations to company management. You might want to discuss your situation with a Georgia employment law attorney to find out if you might have any recourse. Just understand that in a lot cases the employer can legally fire you for complaining in house about how they do things, even if what they are doing might be illegal. Still, there are some instances where you have protection, and many attorneys give free initial consultations so you don’t have much to lose but a little of your time to find out where you stand. And certainly you ought to file for unemployment benefits.