I think the reason is that prohibiting them from firing is the easiest way to make sure they don't leave the commander alone to fire closest. I think the possibility to fire under Hold (like in Hold&Attack) came only in patch of DomII, and guard commander comes from the very beginning of Dom:PPP.
Hmm, I think I recall some comments from the devs here in this forum about that issue more than a year ago, saying that bodyguards were not permitted to fire on purpose for balancing reasons, but I cannot find that thread anymore (I thought it started with discussing caelum's basic tactics...)....