I am level 20 magician using level 3 magic guard and it is not transferring any of the damage to my mp. I'm fighting green mushrooms and I'm seeing my damage not hit my mp when magic guard is active. I've attached a ss of me dying and taking 49 damage and you can see my mp is full and magic guard is active
Lv 3 MG doesn't do much, and you are 8 MP away from full, so it likely did work, just the effect is too minor to be easily noticeable