I should have known!

It was the most simple and practical answer. Why are some Proton rockets bare metal and some not? Does it have to do with the type? No. Of course not.
I am preparing for some future model builds and I really wanted to add a bare metal Proton to my rocket garden. They look awesome, I think. Now a lot of Protons (the K and M versions alike) are painted white. Big red fat lettering along the body spelling the cyrillic "Прото́н" with either a M or nothing under it. (never seen a "K", anyway):

A Proton K launching Zarya, the first Russian component of the ISS back in 1998. 
The orange colour of the clouds is because of the very poisonous and corrosive fuels the Proton uses.
Note the American flag on the second stage - Zarya was co-financed by the US.
(photo: NASA)

But...

Sometimes however, a bare metal variant is erected on the pad. I was really curious why this variant existed. The answer was, like I said, one very practical and obvious reason: Saving weight. When a heavy payload has to be sent into orbit, they leave the white paint behind. It sometimes can save hundreds of kilograms in weight, I have been told.

But then there rises another question: why not always fly without paint? it is not necessary, the rocket is only used once. It saves weight. It can save in fuel costs. And without paint, I think the Proton looks awesome:

Like all Russian launchers, Protons also are transported to the pad horizontally.

A Proton M on the pad. What a beautiful sight! 
The nose cone still is covered by an isolation blanket
to protect the payload which is the SkyTerra-1 satellite.

...Which is not a small payload indeed. 
(The last three photo's come from Eureka, Daniel Marin's blog 
and probably are made by either Roscosmos or Khrunichev)