The Return of Sherlock Holmes
Holmes follows in the footsteps of many famous protagonists by appearing in the title. Title appearances are generally an indicator that a character is a Big Deal. If we were still in doubt as to who the hero is, Watson helps us out by explicitly stating in a lot of the stories that these tales are about Holmes and his famous cases. Holmes is definitely someone we root for and, like a superhero, he often swoops in to save the day. It's also notable that Holmes often saves the day because of who he is; his own personality traits make him a hero. And in these adventure/mystery stories, his heroic status makes him our protagonist. Protagonist isn't always synonymous with, or the same as, hero, but in these stories it is.