Not what the other theories suggest (spoilers)

I don't see why people think this is a case of a split personality. I don't see any evidence in the movie at all to support this.

Instead, what is more likely is that Sara has completely flipped the perspectives of the twins with regard to what happened to her parents.

Sara is the one who saw what happened. And she has been telling this lie to her sister all her life (as well as to other people). She has been protecting her because that is what she did for her sister. This is made clear because when she retells her lie to Aiden, the film makes it pretty clear that she is lying by showing us what really happened. I believe that Sara's sadness is created because she wants so deeply to believe her own lie, but she simply can't. And so she pretends that it was her sister that kept her from seeing the truth, thinking somehow eventually she will believe it.

This is also made clear because the guide sees and states that Sara is the one with the sadness. The film reinforces that Sara is the one who saw what happened to her parents, with the scene in the cave when Sara picks up the old children's slide picture toy. Sara sees the scenes from the past which she would not be able to see if she truly closed her eyes the whole time. And, finally, near the film's end, it is reinforced again when Sara hallucinates the basement scene. She sees what happened, because she was the twin who viewed it. She also covers young Jess' eyes because this is what she did. She protected Jess from seeing what happened.

As such, that is why Jess is able to survive in the forest so long. She does not have this "sadness" that her sister, Sara, holds inside her, because she does not know what really happened to her parents. The forest, therefore, has no ability to claim Jess. But, it does have the ability to claim Sara, and so it does.

The guide realizes this, because he knows what happens to people with sadness in this forest. He realizes that Jess was safe from the forest, and, he sees that Sara is now just another of the forest's victims. I don't believe the "jump scare" at the end means that the guide is taken. I think it simply reinforces this theme, and the guide understanding what happened.