Cersei usually has guards following her around, like in that scene where she had them "kill" Littlefinger then changed her mind in the last moment.
I'm sure she wishes she had them at her side when the Septas dragged her off, but leaving them outside the church would be expected. She was having an audience with the (equivalent of the) pope who she herself promoted and empowered.
The thought that he might turn on her was ludicrous (thinking like Cersei here). She was going in for a private audience and probably didn't want Lannister guards standing at her shoulder listening in to everything she said.
Remember that she's there to pretend to be shocked and outraged at the treatment of her daughter in law. She doesn't want her personal guards who probably know what she really thinks of Margaery snorting or smiling while she's putting on the show.
(Knowing Cersei she probably wants the guards to imagine her demanding things from the High Septon, not asking politely)
As to what the guards do when she didn't come back out. No doubt they spent a long while waiting and considering what to do. Eventually they went back to the red keep to report. They probably reported it to their captains until it got to the small council.
Which at the time would be:
Cersei (not available)
Tommen (not known to attend)
Mace Tyrell (Over in Bravos talking about usury)
Trystane (It was agreed that he would take Oberyn's agreed spot on the council, on his way there)
Maester Pycelle (Present, but from the look he gave her didn't jump up to secure her release)
Qyburne (Who visits her in prison)
The queen and her guards actions make sense to me. You can imagine the queens guards trying to muscle their way in to see her, maybe drawing swords then backing down when the faith militant didn't step aside, like the scene where they arrested Loras.
Oh and I've tried to keep this only about the TV show (as Frank has covered the book version pretty well), but they get a bit mixed in my head.