Adding another column may increase back-pressure, at least slightly. Pretty obvious when you think about it -- more media, even a tiny amount, is more particles in the path for pressure. Guards are designed to minimize this, but it can be noticeable.
Adding a column, even a tiny one, adds dead volume, even a little bit. Some are better than others, i.e. the guard that screws into the column. However, you may get slight retention time shifts, or, if you must plumb the system yourself -- with guard column housing, tubing, etc, you may get significant RT shifts.