This is because protein powders are usually made from the proteins in milk whey, which is the lactose - containing, liquid part of milk. (healthline.com)
So, coconut milk is the thick and liquid part blended, whereas the cream is the thick part — you would discard all the liquid. (paleorunningmomma.com)
After reading other comments I decided to chill the coconut milk in the fridge to let it separate, then stopped pouring the milk into the saucepan when i reached the gray liquid part. (paleogrubs.com)