Why didn't Magnussen's bodyguards search Sherlock and Watson for weapons?

The gun is actually not that relevant.

I cannot quite get my head around why:

Magnusson revealed so clearly that the only copy of all of the blackmail information is in his head with no backups. Even if Holmes and Watson were not armed they could still have killed him with their bare hands. They were both facing life imprisonment for treason so killing him would hardly make things worse.

The only thing I can think of is that he got so carried away with his power and his intellectual dual with Holmes that he forgot:

He can still be bested physically. The triumph went to his, already arrogant, head and whilst he had all of the clever options covered he neglected the 'stupid' option of just killing him and taking the consequences.

From an interview with Mark Gatiss and Steven Moffat:

Moffat:

• [I wrote a scene where] Sherlock and John go to him, and Magnussen’s decided to go for a swim so he just takes his clothes off. He gets into his Speedos. So he’s so bored of them, so uninterested, so unaware that they’re there, that he just behaves like that.

Gatiss:

• It would be like a Roman emperor, where they just didn’t even acknowledge that the servants were there. They just put their hand out for something.

Moffat:

• That sense of entitlement... It’s what brings him down of course, that it doesn’t occur to him that Sherlock Holmes might just shoot him. He hasn’t factored that in. He doesn’t think people can do that.

For all of Magnussen's power in having "a very good memory", his primary weakness is assuming that once he has someone's pressure point, they will simply bow down to him. This was already evident in Lady Smallwood - he was able to intimidate her enough that he could lick her face and she'd do nothing about it, but he didn't anticipate that she would ask someone else for help. When it came time to confront Sherlock and John, even revealing where he kept his 'files' didn't seem to be a bother to him. As far as he was concerned, neither man would actually go so far as to kill him in cold blood. John is a soldier, a man of honour who would only kill when there was no other alternative (if memory serves, the only person he actually kills during the 9 episodes of Sherlock is the cabbie at the end of A Study In Pink). Certainly, if John was going to kill Magnussen, he would have done it beforehand. Sherlock, meanwhile, was not someone whom anyone would expect to kill someone else (if anything, Mycroft wouldn't hesitate to put a bullet in Magnussen's head if necessary). Thus, Magnussen fell by his weakness of assuming. There's a reason why they say when you assume, "you make an 'ass' out of 'u' and 'me'".

The simplest answer is his overconfidence

When Magnussen first meets Sherlock to negotiate the return of the evidence embarrassing to Lady Smallwood, he sends his goons in first to secure the environment and search Sherlock and Watson. This happens at Baker Street. At this point Magnussen doesn't really know what he will face and may be wary of Sherlock.

Later, two things have happened. Sherlock has saved Magnussen's life or at least interrupted an event that could have led to his death and distracted his assailant who seemed about to kill him. Since the assailant shoots Sherlock, you could argue that Sherlock took a bullet for him. Also, Magnussen has managed to get plenty of dirt on Sherlock and, as a result, may be more confident in facing him.

So Magnussen may be overconfident. Also, he invites Sherlock to his home base, sending a helicopter. Moreover, he is expecting to beat Sherlock in the negotiation for Mycroft's laptop. It seems that he has predicted Sherlock's strategy and wants to lord it over the detective by showing that his plan to facilitate a security search of his base to uncover his secret files won't work. Again, this might contribute to overconfidence on his part. Therefore no need to search Sherlock.

It is also worth pointing out that it isn't at all obvious that Sherlock planned

to shoot Magnussen.

Sherlock looks like he didn't expect to be bested by Magnussen. He could be putting on an act, but maybe he really was surprised to be beaten and improvised a new strategy on the spot. His actions are certainly unprecedented and a shock to Watson and the audience (making at least 4 mindf**ks in a single script).