Throughout all of my games since the advent of the new edition, I have learned one lesson that has stuck possibly more than any other: bring three shield guards.
Kreoss, standing out front of his army with no shield guards. Like an idiot.
The Protectorate is lucky in that we are able to bring a set group of shield guards that are both relatively cheap and have great output if necessary. In fact, we have no "throw away" shield guards exactly, every piece we can bring is resilient for its point cost, and capable of dishing out some pain. The flip side, however, is that we also have a typically weak statline on our Warcasters from a defensive standpoint. Some are obvious, like Severius who is known for his tendency to die at the sight of enemies on the horizon. Some are not as obvious; many think that High Exemplar Kreoss, for example, is tankier than he is but... without the correct protection, he dies very quickly.
Some of our casters have much better statlines. In Mk. 2, Feora was often taken in part due to just... actually being fairly tough to kill for a Protectorate warcaster, in addition to having some great tools. Durst showed up as a caster who can take a serious beating, and Intercessor Kreoss stepped it up from his on foot forms and tanked out some. Some are deceptively tough, like Vindictus, or just hard to hit in the first place like Thyra. But even our toughest casters (outside maybe Durst) have one thing in common: they're not tough enough to be eating heavy gunfire trivially.
In almost every game I have played without taking a minimum of three shield guards, I have regretted it. There are exceptions, of course. Some casters avoid gunfire in trickier ways, such as Thyra with stealth, Servath Reznik, Wrath of Ages with his Lamentations of Suffering rule. Others... are Harbinger. Three has shown to both be the number that greatly dulls the ability for your opponent to concentrate fire into your caster (or other targets!) and be really easily from a point cost standpoint to take. So, in the interest of talking about which three to take, I'm going to go over the faction shield guard options available to the Protectorate. Mercenaries I won't mention as outside some kind of jank I haven't come up with yet, the Friendly Faction Shield Guard options I think are pretty much all better (although you can take Gastone with a Vanguard if you like, I suppose.)
The Templar is a pretty decent 'jack, but is fighting at his point value for a couple other options. As a shield guard, he's expensive. As a combat 'jack, he's slow and MAT 6. Those combined, in addition to his shield, make a piece that I think is good, but not a main consideration for a regular shield guard choice. I work them into Harbinger lists pretty easily, since she actually typically wants more than three shield guards and to not spend too many points on just 'jacks, and also has a speed buff for it which it sorely wants so it's a pretty reasonable choice. They also go into my Durst builds pretty often but... it's kind of as a 'win more' option, I'm already ridiculously resilient to shooting, I'm going to bring Templars to just make it even more ridiculous.
This guy is pure money, in my eyes. Nine points for a shield guard, immunity to spells for your caster, a very good defensive statline, and a fairly decent MAT 7 offensive piece for the late game. There's not much more I can say about this guy, honestly, he's an autoinclude in most of my lists at this point and has almost always proven to be more than worth it. In many ways he's become as core a support piece to me as choir are.
High Paladin Dartan Vilmon
Vilmon isn't big on peripheral vision.
Unfortunately, Vilmon is probably the shield guard on this list that will see the least table time. That said, between our shield guard options, he's the cheapest if you'd like to take a fourth one after the better choices. For his shield guard role I like him quite a bit with The Harbinger, since she can keep him alive into the late game to do some pretty serious work while also just being a solid shield guard body to keep her alive. He makes it into a couple other lists as well, but more for some designs of synergy rather than necessarily as a shield guard.
Visgoth Juviah Rhoven & Honor Guard
For a long time I considered Rhoven and his boys just a way to get Eyeless Sight onto a gun, attached to a couple neat little tools. As time has gone on, though, they've become another core part of almost every list I build. For the nine points, they're extremely useful in a wide range of situations. You get Rhoven, who is just a mess of great options in a single piece. At his sides, two remarkably resilient 8 wound shield guards, who just happen to also be PS 11 blessed weapon masters. They can hold back in the early game to be shield guards, and come in in the late game to crack hard targets very effectively. Almost every list I build starts with a Devout and Rhoven, which gives me that solid three shield guards I take as a minimum to every list.
Shield guards are one of the most important tools in the Protectorate arsenal. We have many layers of effects to handle enemy shooting, and this stacks up on those layers even further and denies your opponent options. This is the core of what makes Protectorate the faction it is: denying every option you can until your opponent has no good choices left. The combined role of our shield guards as great toolbox or offensive pieces means we don't really even have to sacrifice to use them. They don't feel as though they're adding to support bloat, because they're also just effective combat pieces in and of themselves. One of the weakest points of our armies is typically our casters... it's worth quite a bit to keep them safe.