Make it a 5+ and that might be decent.
Using Heirs of Azkaellon to make the Sanguinary Guard more durable is actually a genuine option, but I don't think you can do it by armour saves. I'm not convinced by giving them a reroll to Wound, either - the Lieutenant and Sanguinary Guard Ancient already provide that exact buff.
How about something like this?:
The Sanguinary Guard are haunted by the failure to protect the Primarch Sanguinius at the last and so, in the presence of the warlord, will fight through wounds which would kill a lesser mortal. Models with this rule can roll a D6 for every wound suffered while within 6" of the warlord - on a roll of a 6, that wound is ignored.
Essentially giving them a 6+ Feel No Pain rule while they're near the warlord. That way they can benefit from Dante's rerolls to Hit, the Sanguinary Guard Ancient's rerolls to Wound and still get a nice buff from being near the warlord.
A 6+ is a joke.
And they definitely need a bodyguard rule. That's their literal job, but for some reason only company vets get that.
6+ is infinitely better than nothing. I think a 5+ is asking too much, unless we're also talking about adding a significant amount onto their current points. I would, however, increase the Death Company's native FnP to 5++.
I thought about the bodyguard rule and I do like it, but again I feel like we're beginning to stack too many benefits into our wishlist.
What would we say to a 6++ and the bodyguard rule?