It is by design that we do not add the custom fields to a guest checkout. Guest checkout needs to be a simple process where you ask only the minimum questions to process the order. This alternative checkout method applies to Retail (B2C) sites only. It will allow your customer to checkout without creating an account and logging in. Since they do not create an account, we have no where to save this information yet.
Once the account is converted to a "real" account by the user logging in with the email address they used and a password, they are now a regular site user and then we prompt them for the information that is requested and save it with their new site user account.