I just called the guards on a thief that went grey stealing from me and nothing happened. I am in the guard zone so why would a thief now take a criminal flag for stealing? Especially since they turned grey for doing it...
If it's a light weight enough item, and they are VERY lucky, they can steal it and turn grey, but not have guards called. It's pretty uncommon here though. You were free to attack them in that situation though, and they will be perma until death.
Do you remember how fast you called guards? Could also be that the 13-15(?) second timer expired. Never have timed this, but yeah, there's a period of time when you can call guards.
I called guards the second they went grey, I had already pulled their health bar. I believe this is a case where they are considered 100% successful in their stealing attempt, but show grey to only me so that I can freely attack them if I choose. After some time I remembered this being the case in retail, a thief would always be free to attack by the player they just stole form. As mentioned here, it's called being perma-grey.
Most likely the fact is that in the macro of the list of words for the convenience of input, the call of the guards, namely the word "guard" is not in the first place and Your macro activates the banker or someone else, and not guarding! This topic has already been discussed and I in my practice encountered helpless calls by guards in the wrong macro from my clients and You know that - it was fun I do not know if I should say this, because in this case I'm acting forgiving myself ... There is always the possibility that I misunderstood You, because I'm here through an interpreter, a good game to You =) Regards, Kir