Bodyguard - Someone who escorts and protects a prominent person
It's a very loose definition, really, and hence we can understand why so many could fall under that category. However, there is a line, fine as it may be, between real bodyguards, and loyal generals. Dian Wei, undisputably, was a bodyguard. Never, in a time where his lord's unit was engaged in upfront battle with an enemy unit, even though Cao Cao may have been winning, did Dian Wei leave his side. The same goes for Xu Chu - whilst they may have sometimes led their own units, when their lord fought somebody directly, they were there.
Zhao Yun, on the other hand, is another story entirely. Were he really a bodyguard, he would have accompanied Liu Bei in the preliminary attacks on the River Lands, rather than coming as reinforcements from Jing after the death of Pang Tong. He also would have gone with Liu Bei to Yi Ling, rather than come afterwards as a reinforcement unit. The fact that he acted differently on both of these occassions, as well as many others, shows that he was by no means a real bodyguard.
Also, Zhao Yun had many exploits as a general. Whilst SGYY does not state this, during Liu Bei's service under Yuan Shao (after Cao Cao scattered him and his brothers at Xu) he met Zhao Yun. Zhao Yun served Liu Bei from thereon, although, with Yuan Shao present, was forced to keep it secret at first. During this time, he recruited to him as many men as he could who would be willing to follow Liu Bei. These were a great help to Liu Bei when Zhao Yun brought them with him to Runan. Furthermore, Zhao Yun was responsible for the capture of Guiyang, and participated in Liu Bei's conquest of Northern Jing, as well.
After Liu Bei's death, however, we see an increased amount of individual activity from Zhao Yun - he was one of the main generals involved in Zhuge Liang's plan for the defense of Shu immediately after the death of Liu Bei, holding off Cao Zhen - who led Wei's entire army - in Hanzhong. He then led his own unit, and with Wei Yan, formed a core of the Shu Campaign against the Mangs. Later, he led the frontier during the campaign for Tianshui, and during the Jieting debacle, led his own individual unit against Cao Zhen at Chang'an, a battle that he only lost due to inferior numbers and the nearby loss at Jieting. In spite of this, though, his was the only ordered and safe retreat during that campaign, with many other units being routed as they fled. Finally, he spearheaded a direct assault on Chang'an, his last major campaign. So, we can see how Zhao Zilong was far more than a simple bodyguard.