I think there are some funny things going on with this, but I can't say when it would have started.
Earlier today I had 2 pets guard me via the 'all guard me' command, and then I recalled into an area with giant serpents (felucca). A giant serpent took the liberty of walking up to me and biting on me while my pets stood there and watched me beat it to death with my mage weapon.
I think this also happened in a different area where I recalled in front of an ogre. The ogre got on me right away, and I ended up doing an all kill quite fast, but in that time frame I think I noted that the pets weren't guarding, it was my all kill that dealt with it.
Just now I logged in with my 2 pets and did 'all guard me' several times before dragging them off to Deceit (trammel). One pet seemed to be functionally guarding me whereas the other one just followed me around and eventually went "blue" instead of "green". Even when I single clicked that pet and selected "command: guard", it did not actually guard.
I did the guard commands several times in there, messed around with it a bit, and in that time there wasn't any one clear thing I could do to make both pets correctly guard me.
It would take a while to test this extensively enough to do a half decent bug report. It looks complicated, but yeah, earlier today there was an incident where neither pet guarded me properly.