The guest user is disabled on our user databases but data security guys want us to disable it on system databases as well. Should I do it?
No you shouldn't disable the guest account on the system databases. You also shouldn't disable it on the user databases. This will stop anyone from using SQL Server Management Studio to connect to the instance. As long as you haven't granted any permissions in the user databases to public, and you haven't changed any of the default permissions in the databases, then the guest role poses no security risk.
Also your security team should stop making recommendations about how to secure SQL Server until they've learned how SQL Server and it's tools work.
No, don't disable the guest account within the system databases.
and the quote:
The recommendation is not valid for master, msdb and tempdb system databases. If Guest user is disabled in msdb system database, it may cause some issues.