No, you are not getting guard. I have also noticed odd things with fall damage from time to time. You get knocked off the bridge on the first room on FC and sometimes you don't take any damage, sometimes you do. As lvl 1 on threatening I was taking damage as soon as I was hit when this bug happened. Normally I am at near full guard when I do my first run and hardly ever see my health bar move.
Hmmm I was at threatening too but probably not level 1. I ran thru the whole thing with full bar of health with no guard showing. My armor is good but I don't think it is that good.
But then I noticed today my Saarebas was running thru threatening without losing any health. I got hit but lost no health as if she got guard, but none showing. Maybe there is another bug out there that gives you divine protection or something.