Do I play Guards! It says: "Play a 2 might SS unit token. You may pay Order power to ready it." Thinking that they wouldn't defy the spell, I add a SS token and I pay the power cost and ready the SS. The opponent exhausts his runes and plays Defy. So I'm like okay, I get the power back and rewind a step, and they're like no, it's all paid at the same time and insisted that I couldn't take it back. The question is, do I lose that power or not?

No, you do not lose that Order power. Here's why.

The "pay [C] to ready it" on Guards! is an instruction that happens during the spell's resolution — it's written in the ability text box, not as "as an additional cost to play me." This is the same class of cost as Bullet Time's power cost or Thrill of the Hunt's banish (see FAQ #11228, #5229). If the spell is countered while still on the chain, that instruction never executes, and the [C] is never spent.

What you do lose: the 3 Energy you paid to play Guards! itself — that's the cost to put the spell on the chain, and per Rule 425.1.c, countering doesn't refund costs paid to play a card. But the [C] for readying was never a cost of playing the spell, so it never entered the payment flow.

Timing note for the table: Defy must be played while Guards! is still on the chain (before it resolves). If you already resolved Guards! — played the token, paid [C], and readied it — it's too late for Defy; the spell already happened. If they want to Defy, they need to do it while Guards! is a pending Chain Item, which is before any of its text-box instructions occur.