Nothing is going wrong. The guided filter is applied iteratively 2 or 3 times on top of itself, depending on the preset you choose. Depending of the feathering factor used, the guided filter tends to average the luminance piece-wise, thus compress the histogram around the average luminance of your picture.
To compensate for that, in the masking tab, you can use the mask exposure and contrast compensation. The exposure compensation will slide the histogram to the left or right, and the contrast will dilate/compress it around -4 EV. To help you setting them, you get a bar representing the histogram spreading just above those settings. The bright bar represent the coverage of the first and last deciles of the histogram, so you get 80 % of the histogram in it. Orange highlights appear when a part of the histogram is outside the tone equalizer settings range.
You get auto-tuners to help you, but they work well only when mask quantization is set to 0.