I encountered this sidequest twice and managed to save them both times.

Now, 'saving' them means to get them out of their immediate situation, like killing all enemies in the same room you encounter them with at least one guardsman surviving.

They always die later during the mission while escorting you...

I always jumped right to them an no matter if they all died or some survived I got the X for the Mission sooo I thought I saved them?

Well, you probably have to execute them anyway, due to their exposure to the forces of the ruinous powers...

Well, I saw them for a moment in the middle of enemy group. Sadly, an airburst grenade was already on the way there. Side mission complete, no guardsmen alive.

Imho it teaches you a valuable life lesson - No matter what you do and how hard you try - Guardsmen will probably die. Accepting this and praising their brave sacrifice is the best you can do. Or Buff their health. 

Guardsmen are supposed to die, its their job :)

I have saved them once out of 3 times by rushing in and shooting everything but there is not much point as they just follow you until you meet the next group of enemies where they do their job and die horribly for the Emperor.

Also, you seem to complete the objective if they live or die anyway.