It's probably because a lot of close protection fellas wear shades if they're out and about - particularly given the weather. Also lets you eye-ball people without being noticed instantly, and protects your eyes when someone lights up your armored SUV or Sedan. Keeps dirt and debris away.
I don't care too much for the protection guys, but some of the individual characters like the Sheik, Blackmailer etc. look really cool and could be really useful for a game.