Is “never should you let your guard down” a thesis statement?

Yes.

Think of a thesis statement as something that you know or believe is true. For instance: "The dog is brown." After you have told this to someone who is blind, you would go on to explain how and why the dog is brown. The thesis is the main topic in a story. After the thesis is stated, you would go on to explain how and why the dog is brown.

the correct answer is: d