It's not something I would consider common but it's not unheard of either. What is fairly common is for a company to have a significant portion of it's business come from one major customer.
I've worked for at least a couple of companies where whole teams/whole departments existed solely to service a large customer and were that customer to go away for whatever reason then it would leave a serious shortfall in income for the business and it would be quite likely to result in those employees losing their jobs unless a suitable replacement customer could be found quite quickly. Neither of these scenarios is inherently a bad thing, and each instance would have to be judged on the risk vs reward balance for that particular case.
Ideally a business in such a situation would have financial buffers and contingency plans in place to allow it to survive such a loss but in reality this isn't always possible or even considered. About all you can do is keep a general eye out for any signs that the customer might be about to leave (or go under or anything else that would result in them no longer providing as much business for your company) and where possible make sure your own personal situation is as best prepared for it to go sideways on you, but that's the same for anyone really and I appreciate that it's easier said than done!
As for the second part of your question:
Are there any government/industry protections that deal with situations like this?
Pretty much "No". The government may step in to protect a business from failing if there likely to be wider implications for the country's populace or economy (e.g. the Northern Rock "failure" ~10 years ago) but such circumstances are rare and a small marketing agency such as your employer could go under and while it would be awful for the staff and their dependents the country/economy as a whole wouldn't even notice.