As noted, it would appear that Rommel took steps to protect Jewish populations in North Africa from pogroms by both the SS and local Arabs. However, it might be a stretch to attribute this to a particularly high moral and ethical standard. It is just as likely he saw such actions as a needless diversion in a combat theatre he never fully controlled and would not want to encourage violence and lawlessness among his troops or sympatheic local allies - lawlessness that would affect the discipline of his own Afrika Korps. Rommel did pride himself on his forces' generally disciplined adherence to the geneva convention, and he would probably have looked at the treatment of civilians in the same light. Also, Africa was a side show in which, technically at least, the Italians were equal if not primary partners. Even the most brutal and doctrinaire Nazi might find it wise not to start Jew-killing as soon as he could.
Had Rommel actually been able to actually cross Suez and enter Palestine in some sort of "Axis wins or draws" scenario, I have no doubt that the Nazis would attempt to put their plans for the Middle East (including the elimination of the Jews) into practice, and Rommel would be unlikely to or unable to resist this. He would either continue in command of the theatre and become the "Butcher of Palestine" to the Allies or be "promoted" to another theatre where he was not in the way.