If you think the possibilities of remaining are so remote, why bother making a protest vote at all if it's so pointless. Or how about voting for someone that will help the EU become more equitable, socially conscious, environmentally friendly, or what ever issues are important to you, as a parting gift to the rest of Europe. Not sure I understand your point about the other MEPs viewing them as legitimate - it's not like, for example, the S&D would stop Labour MEPs sitting with them and it's not like their votes would be any less legitimate.
The street fight remain parties have been engaging in hasn't been with the Brexit Party, it's been with other remain parties and Labour, which is a perfectly valid election strategy, but a counter productive referendum strategy. We all know that remainers will be on the news the day after the election saying "well actually 2 out of 3 Labour voters voted remain and 80% of their MPs and pretty much all of their MEPs support remain so you can't count votes for them as votes for brexit" which is going to ring pretty hollow. Yes the Brexit Party was always going to treat it as a second referendum and to an extent the media too, but since the remain parties decided not to work together and since it's been obvious from the start the Brexit Party is going to win, how has the remain cause been strengthened going along with this narrative. If this had motivated a significant amount of remain supporters who otherwise wouldn't have voted to do so, I suppose that could have helped, but the polling suggests that the big boosts for the Lib Dems and Greens is coming from people who would have voted Labour switching, and this leads to the possibility of the Brexit Party getting more MEPs than they would have otherwise due to the D'Hondt system. Anyway, I had a really great point I was going to finish with but I completely lost my train of thought, so I'm just going to hit post reply.