All emperors had "proper" bodyguards. The problem was always the loyalty of the bodyguard, which could change upon the switch to the next emperor and so there was nothing to "catch on." i.e. the bodyguard you put together to get rid of the disloyal praetorian guards becomes disloyal to the next emperor, who then disbands that new guard to create another guard, which then becomes disloyal to the emperor after him, etc.

The real reason that emperors were susceptible to assassination has less to do with the bodyguards, than the socio-political environment of the Roman political culture that allowed sovereigns to be militarily removed and killed.

One theory about this is that Roman usurpation was itself an extension of the republican tradition of elected officials. If the executive office can be chosen, it can be "unchosen." Once you had an empire, the act of "unchoosing" an executive ceased being a legal one (where the executive steps down and a new one steps in through a specific legal and elective process), and became a practical one, through assassination or civil war.

This of course is very different from political cultures like monarchical dynasties where its less an executive "office" and more like an executive "family." Consider western high medieval kings, where there was a certain sacrosanctness of royal blood that, although they certainly could be killed, it was far more common for them to be imprisoned. This was because the political culture dictated only members of a ruling dynasty could lead. The benefit of this practice is that it limits contenders to the throne, but the downside is that it limits the rise of more capable individuals who can rise to the top via their own skill/force.

Also, because the legitimacy of dynasty is based on the notion of royal blood, even when you depose a competitor relation, its unwise to kill them because then you're asserting you can be killed as well.

Since the Roman imperial office is not based on blood (although blood certainly helps improve legitimacy), emperors can and are killed, since death is the best option for complete removal of threats. Imprisonment or alternate non-fatal deposition always runs the risk that they'll go free and take back the throne (See Justinian II).

Were they? At least during the Early Imperial period there were not many. To go through them:

Augustus: natural causes

Tiberius: Natural causes

Caligula: Assassination

Claudius: Natural causes.possible assassinations

Nero: Suicide after Senatorial coup

Galba: Assasination

Otho: suicide after defeat in battle

Vitellius: Execution

Vespasian: Natural causes

Titus: Natural causes

Domitian: Assassination

Nerva: Natural Causes

Trajan: Natural Causes

Hadrian: Natural Causes

Antoninus Pius: Natural Causes

Marcus Aurelius: Natural Causes

Commodus: Assassination

Pertinax: Assassination

Didius: Executed

Septimius Severus: Natural Causes

Geta: Assassination

Caracalla: Assassination (?)

Macrinus: Execution

Elegabalus: Assassination

Alexander Severus: Assassination

So of the first seventeen emperors, we have four assassinations, and of the next eight there are five. I wrote it out like this to illustrate how we need to think about the Principate as being a changing institution within a changing political context that belies the stereotypes about it. If you are one of the pre-Commodus emperors, you are overwhelmingly likely to die of natural causes (10/17, but really 10/14 if we exclude the Year of Four Emperors). If you live after Commodus, the only chance you have of a natural death is being Septimius Severus. And it goes even farther than this: I the roughly 200 years Between Augustus and Commodus there was only one period of civil war, the Year of Four Emperors in 69 CE. In the roughly forty years afterwards, there were three: immediately after his death, during the reign of Macrinus, and immediately after Alexander Severus' death.

So the question is not why Roman emperors were susceptible to assassination, but why a system of political transition that had been stable and succesful for two hundred years broke down at the end of the second century.

If I may be so bold, I would like to pose a secondary question that may help shed some light on this question. What was the vetting process for the praetorian guard? Was there some sort of background check system or did they just pick soldiers and hope for the best?