I was always taught to say "check" as well, only to learn now that its improper to say it (or anything else for that matter) in OTB tournaments . Never heard about the guard your Q phrase though.
That's how we learned to play also, perhaps it is a good thing when you're young .. I mean it is really bad when you're looking for your next move and have no idea that you're even in check, and worse when you don't see the checkmate coming
It sounded to me like a roundabout way of saying you should offer to do a post-mortem with your opponent. I don't think anyone (OK, most anyone) would take offence to the offer....