But you also have to consider the fact that currencies are relatively uncorrelated with either US stocks or US bonds. So yes, they bring some risk to the party, but adding non-correlated risky assets to the portfolio brings down the overall level of risk, often without reducing your return much, if at all.
Thats a good point, and one I overlooked. However, most academics would argue that currencies themselves (and thus the currency-derived portion of a foreign bond's return) has no expected return over the long term.
Swedroe argues that foreign bonds give equity-like risk, and that risk tends to show up at the worst time.. when equities are blowing up. That forms the basis of my point about holding bonds for safety and negative correlation - but your point is taken.