Sentences after a colon should start with a capital letter
That's, uh, the first time I heard this rule, actually. In fact I always knew the exact opposite. Never a capital letter after a colon or semicolon.
Not saying you're wrong, since English isn't even my first language, but still... News to me.
EDIT - According to
this result after a quick search a capital letter is at most optional even in the case you listed and a mistake in any other scenario.
Here are some quick tips for using colons properly:
When a colon introduces a list of of things, do not capitalize the first word after the colon unless it is a proper noun.
When a colon introduces a phrase or an incomplete sentence that is meant to add information to the sentence before it, do not capitalize the first word after the colon unless it is a proper noun.
When a colon introduces a complete sentence, you may capitalize the first word after the colon according to some style guides. Read on for details.
The article goes on listing a case where according to "APA Style" (whatever that is, I have honestly no idea and I can't be bothered searching) a capital letter may follow a particular type of sentence structure, but the example mentioned sounds more like the misuse of a colon than anything else (a semicolon would be far more fitting there).
The example you reported on the other hand is very different. What follows "Let me guess:" is not a completely new sentence, but something directly in extension of it, as "here comes what I'm guessing".