Police chiefs at Buckingham Palace ordered that Ms Rhys-Jones be given armed guards, according to a report in The Sun newspaper.
Ms Dando was shot outside her home in Fulham, west London, nine days ago.
![[ image: width=150]](/olmedia/335000/images/_335619_couple150.jpg)
But the prince's fiancée was embarrassed to find that she had been locked out of her offices when she arrived at work escorted by a police bodyguard on Wednesday.
She left after there was no response to the doorbell at the central London offices of her public relations firm.
Ms Rhys-Jones returned 10 minutes later and successfully gained access to the building after a colleague arrived with a set of keys.
"I do not think I did quite well enough last time. I am only here for your entertainment," she told reporters.
The guard drove off in her Saab convertible after she went into the building of R-JH PR, and picked her up in the same vehicle when she left work in the afternoon.
Dando's royal link
Ms Rhys-Jones and Ms Dando, 37, had met on several occasions.
Ms Dando was to have presented a BBC programme about past royal weddings, to be broadcast shortly before the marriage of Ms Rhys-Jones and Prince Edward at St George's Chapel in the grounds of Windsor Castle, near London, on 19 June.
Ms Rhys-Jones, 34, is understood to have previously refused police protection.
Dando detectives pleased with fresh appeal
(04 May 99 | UK)
Edward and Sophie name date
(22 Jan 99 | UK)
No escape for Sophie
(07 Jan 99 | UK)
A royal marriage-in-waiting
(06 Jan 99 | UK)
The British Monarchy
BBC News Online Tribute to Jill Dando
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