For a start, the Vatican, the Roman Catholic church in Italy, protected Nazis seeking refuge after the end of WW2. I think Nazis could be considered terrorists in that the number of their victims could be counted in thousands. More recently, Pakistan has been the country most accused of harbouring ISIS and other terrorists. Serious doubts have also been expressed about Saudi Arabia and Iran. The US strongly suspects Iran's motives and practices.
They may not be alone in this, internationally, but they are the most vocal. Many countries are trying to bring Iran on board with the moderate countries of the world that protect human rights. Pakistan appears to present the worst problem but Pakistanis themselves may not be happy with this situation. There are pockets of terrorists in every country in Europe, it seems, but no European country seeks to protect them.
To my knowledge, and I could certainly be wrong, there have not been any proposed military actions to protect terrorists that have been vetoed by countries at the UN Security Council. There have been sanction activities vetoed, for example recently in February of this year (2018), Russia vetoed a draft resolution “that would have linked Iran with the transfer of Iranian-made arms to Houthi militias in Yemen.”
There is also a fact sheet available from the UN Security Council that explains sanctions relating to arms embargos, travel bans and the freezing of assets. The sanctions list 257 individuals and 81 entities, including ISIL, (DA’ESH) AL-QAIDA and others.