It depends on the company that hired them. Most companies have security teams.
Problem is that a lot of companies do not want to pay for secureity. Or some contractors believe that if they just try to blend in they are safe. They never are. Some contractors think that because they are there to rebuild Iraq the people love them. Wrong answer.
Some companies don´t like to pay the costs of American and British security teams so they go with Iraqi teams. Many of the employees do not like this and want American or brit teams but the companies want the cheapist security they can get. You get what you pay for.
I am sure that if this contractor had had security and was captured we would have heard about his dead body guards so I am inclined to believe he did not have any.