I can't reproduce this - can you attach the Fla?
Whoa! I CAN repro it now - after seeing your fla and AVI I tried several variations to get it to happen and discovered that the guide will not show up if I set the document to AS3.0! If it is an AS2.0 doc the guide shows!
I smell a bug! What an obvious bug! How did this happen? I will report it to the Adobe Flash team asap.
Yes, I am using AS 2.0
I did figure out a workaround...
Publish the file as an SWF, then create a new FLA and import the SWF into it, then export to AVI.