> When enabling code protect what are the results?
> No one can read it?
> Can I erase the code protected pic?
> Is it just protected or need to put in the code any password?
> Can someone clone the pic when protected?

This article gives you some idea of what can be done by the
determined s/w thief. A bug that was in the 16F84 was fixed
in the 16F628

http://www.cl.cam.ac.uk/~sps32/mcu_lock.html

Under normal circumstances though, I wouldn't worry about it.

Unless you have something that is really worth stealing, it's unlikely
anyone would bother. But then again, some people do have more
time on their hands than they know what to do with and have access
to resources (eg university or chip labs)

If you are using a Flash part, yes you can over-write it

> The watchdog function - what is it? what I can gain using it? is it
> necessary ?

The watchdog is very useful

You can use it as

a rough timer (18ms, use a pre-scaler to get 128 x 18 = 2.3s)
a thermometer
a reset when code gets stuck in a loop

Unless you want any of those features, it should be turned off

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