Looking at the picture, that bolt is stripped. It starts about 4 threads from the end, and at 10 threads, it's actually reversed.
I think what's happened is that the nut wasn't properly tightened, and the bolt started to move back and forth in the hole slightly, putting side pressure on the nut. Eventually (and it could easily happen in a few minutes), the nut started to slip on the threads, stripped the threads on itself and on the bolt, and finally fell off. I bet if you could find the nut, the threads would be in even worse shape.
I've had it happen on category 1 hitch pins, where they bolt to the implement, and the nut wasn't tightened adequately (shame on me). Just the swing and pressure of the brush hog or box blade working from side to side was enough to strip the nut off. The bolt ended up looking just like yours. We tend to build up some serious stresses, but as long as everything is tight, there are usually no problems.
When you replace it, be sure it's torqued up nice and tight, Check the manual to see if there are torque settings, or call Land Pride. If not, just be sure it's good and snug. As mentioned above, you can double nut it, but if it has end play, it will eventually strip off even two nuts.
It will probably be no harm and no foul. Neither you nor the dealer will ever find or remember every bolt that should be tightened; sometimes failure is the only way to find what wasn't tight.
As for the guards, I had an early problem that suggested that I should remove the plastic bell closest to the tractor. There were plastic tabs that looked like they could be released by bending them slightly, similar to opening a battery compartment on a portable radio or similar. Problem was, when I reassembled it, the tabs never did hook up again. 340 hours later (on the tractor, not the brush hog -- maybe 60 hours on it), the guard is still on the PTO shaft, collapsed to it's shortest length, spinning with the shaft, and I don't really give a hoot. It's not helping anything, but it's not hurting anything, either. Like the others, I never get off while it's turning, and don't allow anyone else near it.