If you were worried that your family would disapprove of/worry about your regime

have your family actually said they disapprove? I can't tell how much of this is just you being paranoid and convincing yourself they think things that they actually don't, because you do that a lot. As for the question, I wouldn't be. It isn't their business. Maybe if they were seriously concerned I was going overboard and damaging my health or ignoring other aspects of my life I would discuss it with them, but apart from that it is nothing to do with them.

Mum said yes but why protein shakes because they cost a **** ton; Dad said yes but why bulk you don't need to gain weight.

I have acceptance by them.to exercise like any other kid, not as much to diet or train

How would you get around that? How would you explain it to them? Would you bother?
Would you check it was ok with them to go ahead before doing it? How would you handle the lack of support if there were none? Would you go ahead and do it anyway?

What possible reasons are there for a young adult to be concerned by what his parents think of what he's doing/need to ask them before doing it?