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I'm not the Oracle of CA, so I don't have a definitive "why". How the game handles walls though is full of inconsistencies--the ruptured walls bug being only the most obvious.
So here's my theory based on observations and trial-and-error: In the first place it's very difficult to get the troops exactly where you want them; very limited. When Line Infantry are in Guard mode, they stay put. You give them an attack order, they carry it out without advancing. This is fine for line troops in open fields. On walls, they won't advance to the parapets to fire over the walls. With Guard more "off", given an attack order, they spread out and advance to the edges of the wall and carry out the order... and begin firing.
Line infantry have Guard more "on" as the default. Militia have "off" as the default. My last campaign used only militia, and I had to keep engaging the Guard mode to keep them from scattering all over the place. lol.