Wondering whether the portions that belong to a member of a group pension fund (under class VII, Annex II of Solvency II) or to an owner of a unit-linked policy are protected in the event that the insurance company is wound up. There is a treatment of insurance claims under art.275 of Solvency II, but this is about priority of creditors. I am not sure if it is possible that the portions mentioned above may incur losses irrespective of such treatment of insurance claims (e.g. due to not enough money in the wound up company).

The Solvency II framework requires that insurers have sufficient assets to cover liabilities. Paragraphs 2 and 3 of Art 132(3) of SII prescribe that for unit/index-linked contracts the technical provisions in respect of those benefits should be covered “as closely as possible" by those units/assets.
Article 132 of Solvency II introduces the 'prudent person principle' which includes provisions on how undertakings should invest all their assets. The Guidelines on System of Governance EIOPA_BoS_14/253 further clarify the application of the prudent person principle. The undertaking should ensure that its investments of unit-linked and index-linked contracts are selected in the best interest of policyholders and beneficiaries taking into account any disclosed policy objectives. The return on invested assets should cover the liabilities on a going concern basis, and this should be supported by all relevant risk management policies including the investment policy, and asset liability management policy.  
Under a winding-up situation, the liquidator or any person appointed for that purpose by the competent authority will consider the available assets versus the total of liabilities and decide on which order such liabilities can be paid according to the prioritisation of creditors set out in the relevant national winding-up procedures.  
Chapter III of the Solvency II Directive applies for winding-up proceedings regarding undertakings subject to the Solvency II framework. Article 268(1)(d) defines winding-up proceedings, and such decisions should be made publicly available under Article 280 of the Solvency II Directive. Furthermore, Article 274 of the SII Directive outlines that national law of the home member state governs the winding-up proceedings and their effects, unless otherwise provided in Articles 285 to 292 of the cited Directive.
Depending on the type of product a policyholder has acquired, there will be risks associated with it and the policyholder can incur losses if the insurer has not put appropriate contingency measures in place such as reinsurance cover (floating charge over the policyholder's assets). In this regard, it is advisable to discuss the terms and conditions of the policy with the insurance intermediary or life insurance product provider and to engage with the life insurance product provider in case of doubt regarding the risks associated with the insurance product; and with the relevant national competent authority if any concerns about the national legislation that applies for winding-up procedures.
It is important to stress that, as explained in EIOPA's Opinion on the 2020 review of Solvency II, EIOPA is of the view that that every Member State should have a national Insurance Guarantee Scheme (IGS) in place for the protection of policyholders in the event of insurance failures.