Just as long as there aren't a huge number of them when an easier word would suffice, and if they're defined (whether outright or in clear context), I don't mind much.
For example, the example you yourself gave. If a "kurrigo" is just a bodyguard and nothing more, then perhaps either use the term "bodyguard," or say something like, "His kurrigo, or bodyguard, did such-and-such..." That way the reader won't have to puzzle over what the heck a kurrigo is for the next fifty pages. Is it a pet? A servant? A ghost?? Etc.
Use the fantasy term especially if there isn't an existing word that adequately defines what the object/being/whatever is. (E. g., there's some sort of aspect to a "kurrigo" that differentiates it from the typical bodyguard, hence the word "bodyguard" isn't adequate.)
Using a fantasy term even if there's an adequate existing term can also help bring a fantasy world to life--just by throwing in little foreign terms here and there--it gives it more of a fantasy feel. (I'm obviously someone who uses such terms sometimes!) But it can be overdone, and most annoyingly is when the words aren't defined. Just because a "kurrigo" is doing something a bodyguard might do doesn't mean I will be able to assume that a kurrigo is a bodyguard. There will have to be some sort of clarification in the text of what a kurrigo (or any other fantasy term) actually is or means.
I'm nearly done with the "His Dark Materials" trilogy, and while most of the foreign terms used in the stories are gradually kind of defined in context, it really irked me that so many of them weren't clarified earlier on. For example, "naptha." I assume it's like kerosene or natural gas or something, because of how it's described and used throughout the books. Sure, it's not exactly a fantasy word, but it's not in regular usage, and it niggled at me that I was (and am) never quite sure what it is. Meaning the author was never QUITE clear enough giving a definition. That is irritating.
ETA: And I ditto Dario D.'s post. Some fantasy terms are just so obvious it's pathetic. They should sound natural, not forced. For example, a big ugly beast rears up out of a swamp and of course it's called a "glorknor" or "norglorp" or something. *blargh*
ETA 2: And see?--I spelled "naphtha" wrong. Ugh.