All of these things will happen, Magic Gaurd makes the user immune to non-direct damage, so you would not be taking damage from a burn but it will halve your attack. Simple as that :)
Source #1: I have had my Magic Gaurd Alakazam get paralyzed and it got it's speed cut, that same Alakazam has also been put to sleep.
Prevents all indirect forms of damage, such as from weather, status, entry hazards, Curse, or Leech Seed. Recoil is prevented except for Struggle, including from Life Orb. Attack reduction from being burnt is not prevented, and moves such as Fire Spin will cause damage as normal. Magic Guard has no effect outside of battle. Self-inflicted HP loss, such as from Belly Drum, will still occur. The Pokemon can still hurt itself when confused and is not protected from Perish Song.