Learn Finnish: Vartija oli kuollut.

You are right! Grammatically, oli kuollut is the past perfect of the verb kuolla (to die). However, the participle kuollut is also used as a standard adjective for "dead". Because of this overlap, oli kuollut serves naturally as both "had died" and "was dead" in Finnish.

How would I say "The guard died" instead?

To say "The guard died" as a single completed action in the simple past tense, you would just use kuoli. The sentence would be Vartija kuoli. In our example sentence, the helping verb oli combined with the participle creates the compound tense.

Why doesn't this sentence use the illative case location rules from this lesson?

This sentence simply describes a state using olla (to be), which doesn't trigger the special location rules you are learning. If you wanted to say the guard "remained" somewhere, you would use jäädä and the illative case for the location, as in Vartija jäi huoneeseen kuolleena (The guard remained dead in the room).

Why is vartija in the nominative case instead of the partitive?

Vartija (guard) is a specific, countable subject in a standard "A is B" sentence. In these sentences, the subject takes the basic nominative case. You would use the partitive for the subject if it were an uncountable mass (like water) or in an existential "there is" sentence.