AFAIK the feature just plain doesn't work. I resolved the issue by copy-pasting the "late" bodyguards' stats over the basic ones'. 'Course, now I don't have the "early" bodyguards at the start, but screw that - I got totally fed up with watching the "earlies" in their mail shirts in the long Roman campaign.

Plus I started feeling serious pity for those Egyptian generals in their eggshell chariots. Not much to be done with the Brits though, unless you copy the "lates" of some othe rbarbarian faction over theirs...