This is the second time it has happened and I don't plan on replacing this one but one of my license plate lights is out and I was going to get the LED ones and I was going to get new yellow fogs and LEDs in the car.

Back to the splash guard. I can see the foglight component now and I'm worried if I get the new fogs, water will touch them and they will burn out. Is there a way I can protect these components without the splash guard?

there are some industrial/electronics distributors that sell heat shrink tubing and sheets. The stufff works well. You may look into that.

Problem is, you will have to replace it when you need to change your bulb, but not that big of a chore.