Does my landlord have to protect my deposit, and what happens if they didn't?Beta*

Yes. In England a landlord must put your deposit in a government-approved scheme (DPS, mydeposits or TDS) within 30 days of receiving it. Within the same 30 days they must also give you the "prescribed information" saying which scheme and how to get the money back. You can check online with each scheme using your postcode and surname. If they missed the deadline, you can claim compensation of between one and three times the deposit through the county court, either during the tenancy or up to six years after. A landlord who hasn't protected the deposit also has their ability to evict you restricted.

Sources: GOV.UK: tenancy deposit protectionShelter: deposit compensation letters