For the record, changing the font size helped, but the issue does still appear in much deeper indentation.
This also happens with Fira Mono, but not Consolas (all this on Windows 10).
So while it's better now, it would be nice if the font quirks don't affect the indentation guides. That said, the same font in different applications often shows some tiny difference here or there so I can accept this as just the result of combining ST3 with this font at this size etc. For now, Consolas it is.
From a very small amount of debugging armed with very little knowledge of how fonts work, I think it's caused by the font when it has a negative leading value. I only saw this when picking a font in mintty (msys2) and only if you close and reopen the setings dialog. The leading value seems to change if you change the font size. A value of -5 has a much worse effect on the guide lines than -1.