Have protists gone through any major extinction events or adaptive radiation?

Answer 1

Yes to both.
The problem is that most protists don't produce fossils so we'd miss these events :)
The protists you're looking for are called "foraminifera," which produce shells, and so are represented in the fossil record. We can see that they underwent an extinction event at the K/T boundary (you know, the same event that exterminated the dinosaurs).