What events are associated with them? Do they follow you into battle or something like that?
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I've seen one event thus far. In the in-combat duel system, if a duel fires, then the bodyguard intervenes. You have the choice to back down then. If you don't, you have to fight the bodyguard and only then can you fight the lordling. I had Daemon Blackfyre cut down a minor lord's bodyguard before the poor maimed lordling surrendered instead of dying.