Psychologists have sometimes suggested that the damsel-in-distress fantasy theme is somehow based on the Oedipus complex: the bound woman represents Mom whom the boy is trying to win over and protect from his evil father. Now, the point whether the oedipal fixation actually exists, and in what sense, is a critical bone of contention among psychoanalysts too, and in any case that theory doesn't explain why girls feel thrilled by seeing bound and helpless women on tv and so on.
I think you're on to something in that Story of O invites an instinct to protect her, even if it's a hopeless one, but the way the story is told it also invites identification with her. What O feels when she's bound, whipped and used is never described, so if you're a sub you're compelled to imagine for yourself her pain and the way her mind and soul turns to find release in being used and tortured.