Well you have to remember that this game takes place waaaaaay back before there was a standardized system of English. The grammar is generally there--generally, which explains the strange "pop culture" outbursts later in the game, which aren't pop culture references at all but the characters simply using their local variants of pre-English--and some words don't even sound like what we accept them as today.

Bandits, well, it's a common enough word. There is an overall-accepted definition of this word, as evinced in this latest chapter.

But vanguard? Fuck, we don't even know what a vanguard is these days. They certainly didn't back then. When we analyze it more closely, however...

... we realize that it is not, in fact, our vanguard. It is a compound word: van+guard. If we break the word down, we get -guard (guard deriving at its earliest from a Germanic word, which makes sense since  there are clearly folks who talk like they came from . Van-, however, is a mystery. They did not have vans, in our modern sense, yet. They did not even have ATAC vans. They had caravans, but obviously they called them caravans.

What we are looking at is, in fact, a slang from the southern part of the continent. In their local dialect, a van is a reference to genitalia. However, its -guard suffix is commonly known because these are just the sorts of times when you can't even walk the street at night without wearing some sort of protection on your person. So in short, to these people, a vanguard is basically a slang for undergarments.

And Andrew is, well, Andrew. What else can be said of the man? He is a notorious "vanguard bandit" in the aforementioned territory. And seeing as how misery loves company, you, who keeps company with him, must be vanguard bandits as well.

so basically this is a game about panty thieves