Can you help me?, I don't know how to make for AI Protoss, I want Zealots attack Terran Supply Depot first. (Picture 1)

I always prevent them to not attack my building by build Terran Supply Depot each gate and I build Marines standing after Supply Depot, then Zealots can't attack Marine because Zealots is prevented by Supply Depot. So, to difficult, I want make for AI Protoss attack Terran Supply Depot first. Do you know how to make it ? Thanks

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I don't know if this can be done with EUD triggers (that's not my thing) but Supply depo have lower priority than marines. In a sense when the zealots are being attacked or near a unit with higher priority, they will always target that higher priority unit (even if they are unreachable). This applies to all AI as far as I know of (also used to cheese 1v7 AIs as you just wall in to stop their forces). I'm not familiar enough with EUD triggers and data memory manipulation but there is probably a way to increase a supply depo's priority.

Alternatively, there is a method in which you can force the supply depo to be attacked by making the Marines an ally and making the supply depo an enemy. This method would be harder because from what I know it takes at least 3 players involving something like this:
Player 1 (Red) Controls the Marines and can attack Zealots
Player 2 (Blue) Controls Zealots and is unallied with Player 3 (supply depo) but allied with Player 1 (marines)
Player 3 (Teal) Controls the Supply Depo

However, to my knowledge, AI characters will still attack allies if they are attacked by said ally (only targeting the unit that initiated the attack). In this case, it still may disrupt the AI and may require to "preserve trigger" the ally status to prevent it from trying to target the marine to focus the supply depo (Hyper triggers definitely prevent it from focusing allies). This, however, creates another problem now that the marines won't get attacked! However, you can attempt to remedy this by having another trigger the makes the zealots unally the marines once the supply depo is either destroyed OR when there are no supply depo at the location.

Unfortunately, this is a bit of a "sloppy" solution but it is only one that I can think of. Maybe someone else may have a solution. (If you just need a wall and don't care what it is, reavers without scarabs also work as a wall and WILL be priority targets even if someone is attacking the zealots. I'm not entirely sure about other structures such as unpowered cannons)

Side Note: There are some AI scripts that are interesting in that they will "acquire" a target and will forcibly attempt to attack it regardless of priority (and will even try to walk around other units to get to it) but I'm not entirely sure what that trigger is as I've never used it

You can also use invinsibility not easy but maybe possible

Run AI Script - Set All Units on Strategic Suicide Missions - and hope for the best.

Tinkering around with EUD triggers can also make the behavior of the attack wave to prioritize walls/blockages, but it's been a while since I did such triggers.