I would guess that the probe is either dimerizing or forming a folded structure, leading to the upper band without protein. You are definitely seeing a shift at low protein concentrations, which is good, but at high protein concentrations there are no bands. My guess is that the probe is being degraded by a minor contamination with DNase. Try leaving out the MgCl2 and adding 1 mM EDTA to inhibit DNases.

I agree with all Adam's comments. I agree that those extra bands you're seeing are probably dimers or secondary structures of your probe, to get rid of those extra bands you may try to denaturate DNA first (just heat at 90C for 2 min and place on ice immediately) and then add it to reaction mixture. The reason your not seeing your probe at high protein concentration might be DNA degradation (the smear below your DNA probe may indicate degradation). But I also wonder whether your protein-DNA complexes are capable of migrating faster (towards the positive electrode) then you would see a shift in opposite direction (below the DNA). This speculation is based on the assuption that your protein at buffer pH is negatively charged and we are not seeing the bottom of your gel which would help to answer this question. And the last remark, maybe you should end up with 6.25 uM of your protein and not use higher concentrations in my opinione it's pretty high and I've never used more than 5 or 10 uM, usually up to 1uM protein.

Good luck.