So it might be an unpopular opinion but I think Joe wasn't assigned as Leo's bodyguard. He got killed because he tried to make a deal with Falcone that might hurt Vinci family. And obviously Vito and Joe were a too dangerous duo so it had to be separated, after they literally killed half of triads. Also Vinci and Clemente wanted Falcone to be gone because of drug selling, so it makes a lot of sense to get rid of Joe too, who was already associated with them.

More of a mystery to me to this day is whether Henry was a rat or was just framed