[brxbrx]

Often SC's are given badass items or have abilities which make it unwise for them to bring around troops.
The Unquenched sword, for example, should be used with care. It's area fire and heat from hell effects can wreak havoc on friendly armies (unless you're Abysia- which makes it a very good idea for that particular nation).
Stuff like poison cloud and plague carrier generally shouldn't be brought too close to troops either.

As far as bringing around a bodyguard, I would say no. Troops will hamper your mobility. You would need a flying body guard with as least enough movement as your commander. Also, troops would invalidate the use of spells like teleport or cloud trapeze.