I felt really sorry for the Royal Guards in that season ender. The Changelings were simply 2 or 3 steps ahead of them, and there was nothing anypony really could've done about it. Their commander was snared by the plan, and if they had tried reporting their suspicions to Celestia (or Luna) directly they wouldn't have been taken seriously. Add in the fact that it's not easy to "spot the impostor" for pegasi or earth guards (who don't have the magic color change tip-off), and its no wonder they performed so poorly!