There's simply no need for it. Guitars with rosewood and ebony fretboards have been going without any protective coating on them for hundreds of years.
As with most things, you can go against the grain if you want. Rickenbacker are probably the most well-known company for often lacquering over rosewood/bubinga fingerboards. But Gibson, Fender, PRS, Yamaha. Martin etc. don't do it.
If you want to lacquer it for feel, then go ahead, but you don't need to do it for protection. A rub with lemon oil every 6 months puts back moisture lost and helps clean the board.
JimC and I will be treating out manufactured 'rosewood' boards with a thin epoxy stabiliser as the wood fibres aren't stuck together very well and bits fall off them; so they'll feel more like a lacquered board after that. But it's not something I'd do otherwise.