I was the one who interviewed the guards.
The guards at the closed hospital (OLOL) have been having problems because lots of random people have been trespassing there since it closed - and Lourdes will only pay for one guard to patrol the whole big campus - inside and out. What has developed is a free-for-all situation 24/7 where there are always trespassers - homeless people digging through dumpsters - bikers and skateboarders - people hanging out and doing graffiti - breaking into the buildings... etc. Lourdes also refuses to let the guards carry guns although they have licenses.
In particular, there have been repeated break-ins at the old orphanage at the SW corner of St. Landry and St. Mary. The guards would nail the windows shut and trespassers would pry them back open. One guard, a couple weeks after Mickey disappeared, found the front door broken open, and looked through a window and saw a naked man sleeping on a piece of cardboard... police were called to take him away.
There are two old nuns still living in the middle of the hospital campus in an apartment... and their cars have been vandalized. Really creepy how the nuns live in the middle of an abandoned, free-roam zone.
I don't think the guard warned Mickey due to any specific threat. It was more a general warning that "hey, it's late... you shouldn't be out by yourself," given to a cute, small girl. Given the nature of the petty problems at the hospital, Mickey's likely speed, and the distance of the street from the hospital, I didn't get the idea that she was at risk from any perp on foot from the hospital property.
ETA: And I can see where people's thinking may be going. I've said this repeatedly: LE searched the hospital grounds very early on - very thoroughly - inside and out, including using dogs, the guards said, including checking crawl spaces, etc. They said the search was intensive.