This is an interesting question when it comes to "bodyguards". These people the travel around the country with the Rich and Famous must have to get permits for every jurisdiction they visit, right? WRONG!
Fact is, according to local laws, most of the time a privately hired, aremed, security detail accompanies someone to Los Angeles, DC, Chicago, NYC, Etc. they are breaking the law. Problem for most of them is, the local police will not provide security for these idiots when they request it.
While shooting a movie is different because they have to get permits, etc. and there are special "responsibilities" the city issueing the permit takes on. But to be on Oprah or David Letterman? If they have armed body guards they are likely (not always) committing a felony.
You think any of them care (or even realize it)?
It is called a Reciprocity Agreement.