Shop Guards can be found in bars and shops. They normally stand still and tell you about hiring people and warn you against theft. Occasionally they walk out of the shop/bar probably taking a stroll although it seems like a bug. Shop Guards will be associated with whatever faction the shop owner they are protecting belongs to.
If Bandits begin a conflict near Shop Guards they will leave their post to engage in combat. On occasion they will not return back to shop, though this is most likely due to a bug. Saving and reloading can fix this problem the majority of time.