"Keeps him safe, yeah. I won't let Ardyn hurt him but... it's too late to try to keep him from breaking Iggy's heart if he wants to. Can't protect him from everything." And that is something Gladio is still coming to terms with.

And obviously there's no way Gladio will end up hurt in this, they're totally talking about protecting Iggy. Gladio is the Shield. He doesn't need protecting.