Board: M.U.G.E.N Development Help
If it's not the animations then it must be the sprites by process of elimination.
Here's an idea, activate debug in mugen, then pause the game when your character dissapears. Post that screenshot.
For the record, there's no shame in modifying KFM.
He's either missing sprites or missing animations.
Double check that you have all of your guard animations in and that they don't use non-existent sprites. IIRC guard anims are 120-152.
If you started by modifying a character, there's a good chance you accidentally duplicated one or more of these animations, which is a common problem for some people.