Dynamically REVOKE CONNECT FROM guest in SQL Server 2005
I ran your script with no problems so my guess is that something is wrong with your conformation script.  I don't see anything specifically wrong with it but here are a couple of links with additional information about disabling guest.

http://blog.sqlauthority.com/2012/02/24/sql-server-guest-user-and-msdb-database-enable-guest-user-on-msdb-database/

http://blog.sqlauthority.com/2012/02/20/sql-server-disable-guest-account-serious-security-issue/

Here is a a modified version of Pinal Dave's script that should help you confirm.

EXEC sp_msforeachdb 'USE [?];
    SELECT ''?'' DBName, name, permission_name, state_desc
    FROM sys.database_principals prin
    INNER JOIN sys.database_permissions perm
        ON prin.principal_id = perm.grantee_principal_id
    WHERE name = ''guest'' AND permission_name = ''CONNECT''';