I just checked and going through the east door triggered the guard to leave. I think leaving south got him to leave last time I played, but it didn't this time (I also didn't talk to him as much this time).
You need level 4 Lockpick to open the door to the east. If you accepted the lockpicking bet when you entered the guild, you can get another level of Lockpick by talking to the guy again and conceding defeat.
