When playing Guards! Hidden at a battlefield, does the sand soldier have to be played at the battlefield when it's revealed?

Yes, when you play Guards! from its hidden position, the Sand Soldier token must be played at the same battlefield where the Guards! card was hidden.

According to Rule 811.1.d.3: "If a hidden spell or a play effect of a hidden permanent causes you to play a unit, you must choose to play that unit at that battlefield [where the card was hidden]."

This is also confirmed by RiftJudge FAQ #9273, which explicitly states that you cannot play the Sand Soldier token created by Guards! to your base; it must enter play at the battlefield where the Guards! card was hidden.