You are right. Diana lost her royal protection and wound up getting into a car wearing no seatbelt and driven by a drunk driver. There are some that say she chose to have her own security as she feared the RPO's would 'spy' on her and report back to Charles. However it happened, it ended catastrophically. Aside from those kind of risks, I imagine H, M & Archie will be prime kidnapping targets as soon as they lose their royal protection status.