They never change their minds, that's because the police are willing to beat the protesters for them. The Civil Rights movement is an example of (mostly, but not always peaceful) protest that changed things within living memory. Gay rights advances in recent decades definitely owe a lot to demonstrations and public organizing that put the issues into public conversation. Women's suffrage movements also featured many protests. Policy effects are everywhere.
What has no effect pretty much ever is protesting foreign policy, because the majority of people in any country neither care nor know what happens anywhere else.
Politicians are like ROM. You can't change them once they are programmed. If you want a different function, you need to swap them out. Yelling in the street is not going to get you anywhere.
The reason Civil Rights, Gay Rights and so on got traction was not through protestors changing politicians' minds. It was through the masses changing their minds and actually going to the ballot boxes to replace their (essentially robot) politicians.