I can add new directories to the ~/upload section of my website. Is there a built-in way to protect these directories to be accessible only by certain users/roles?
Yes, there is. Within the N2 interface, select the folder for which you wish to control permissions. Once the folder is selected, click the "PERM" button in the toolbar - it's the one with the icon that looks like a key. In the resulting screen, you can customize the permissions according to role.