As the title suggests, does UR5e have any emergency stop protection function, I mean, during operation, if it touches a person, or other objects on its trajectory, can it stop automatically. If so, how to set it？
That’s basically the whole idea with collaborative robots such as Universal Robots. 
I think you misunderstand the way it works, though. It doesn’t stop by “touching” a person - it stops by colliding with a person. So it requires some force before the robot registers a collision and enables its protective stop (safety stop).
This also means, that you will have to take into account the force the robot exerts to a person in a risk analysis based on the tool and application surrounding the robot etc.
You can raise the sensitivity of the protective stops in the safety settings. A lower speed will usually also amount to a lower force before going into a protective stop.