You are confusing guides, the thin lines you drag out from a ruler, with guide layers. If you don't want to see a guide layer during a preview then you have to turn it off. The other option is to nest your comp with guide layers in a new comp. They will then disappear.
Oh ok, my bad. Thanks for your help!
Nesting the comp is a nice trick.
I wish there was an option in the view option panel to hide the grid layers, I made a feature request.