My understanding: singular nouns which end in -e don't change based on gender, only plurality. If it ends in -o or -a, that is the masculine and feminine form (respectively), and so the last letter has to be changed to reflect gender in those cases.

Where does it say that the guard is male in this sentence?

As this Treccani entry points out, "Oggi le uniche forme ancora utilizzabili (anche se non molto comuni) sono col e coi" (nowadays the only still usable forms, albeit not very common, are col and coi); however this other Treccani article states that all those forms are admissible, and natural in speech (which I agree with), and yet another Treccani article simply states that "colla" (cólla) is more frequent in speech than in writing.

Confusion aside, "colla" is not wrong, but usually avoided in writing, and most grammars discourage its use; although the reasoning that it's because it's homograph with "colla" (còlla = glue) is pretty feeble as there are many more that aren't avoided at all.

Bottom line, don't merge con with articles in writing, but you're free to do it when talking :)

There is no masculine form. la guardia can either refer to a female or a male.

"Col" is the compound of con+il, so it's exactly the same as saying "con il cuoco". In this case you can either say "con la guardia" or "colla guardia", but "colla" is mostly out of usage.

The verb "dire" is closer to "tell" or "say"; it usually requires an object or a subordinate sentence.