You know why? Because at best, they get their emperor back and they get an absurd amount of fame, at second worst, they die.
At WORST they return, get branded as cowards, lose all their titles and lands, their families at best evicted, at worst sold to slavery and them maybe just hanged as traitors and not tortured to death or sent to a cozy little gold mine to die in 2 years from agony.
Being a praetorian guard isn't always fun and games.