Oh, they absolutely want security.
If they didn't want security they wouldn't be suing the UK Govt about it, or continuing with civil litigation through the UK court system, drawing further press and public attention.
They wouldn't visit Columbia or Nigeria and have armed guards escort them 24/7.
They wouldn't insist on the NYPD giving them blue light convoys in broad daylight.
And most of all - if they didn't want (or fundamentally mentally crave IMO) security, then they wouldn't send out corporate Holiday cards "from The Office of Prince Harry and Meghan, The Duke and Duchess of Sussex".
Their constant need for attention is what feeds the "need" for security.
It's fascinating, and having just read Andrew Lownie's excellent book on the Duke of Windsor - the parallels are striking.
Edit: spelling