I'd suggest making them better Legionnaires for now, with markings or symbols to distinguish them as Imperial Bodyguards. Then when it comes time that you are able to convert most of you army to Legionnaire core, upgrade the bodyguards to Praetorians.

EDIT: Okay, I finally read Oreborn's part of the post. I see the diplomacy went well, but there was nothing mentioned about getting info on the surrounding area from the Ursa, which was another goal of theirs.