There are two questions:
1) Why was no exchange option presented to you on gaining Caravan Guard (CG) on turn when 9 "Smart Ask" was in effect?
2) Why was still no exchange option presented to you on gaining CG on turn when 9 (after an undo) when you had tried to set the autoplay setting for Changeling to "Off"?
2) is easier to answer, from your description it seems that you tried (and failed) to change the autoplay setting. Unlike with the autoplay options in the options tab, you have to click on the radio button beside them to make the change. Your description strongly suggests to me that you cklicked on the text "Off", which (unfortunately) does not work. I'm sorry for the UI discrepancy here.
I did make the change of the autoplay option on my playthrough, and I was presented to option to exchange.
1) Generally, when you buy Messenger and distribute cards (like CG), you get the option to exchange the Messenger, but not the CG. So what happened on turn 9 is actually the expected behaviour.
The reason for this is that when you want a Changeling, then you can distribute a Changeling (scenario A), and you get what you wanted and the others get a Changeling. If you distribute a CG (scenario B), then everybody gets the choice between keeping the CG, or exchanging it for a Changeling.
So if you exchange the CG for a Changeling in scenario B, you have in the end the same cards as in scenario A, but gave the other players the choice between Changeling and CG, where in scenario A there was no choice for them, they got Changeling.
So it was decided that in this case "Smart Ask" should not present the option to exchange the CG for a Changeling. This is what happened on turn 9.
So what is the difference to turn 1? The answer is the Defiled Shrine landmark. By distributing the CG's in turn 1, you moved VP counters off the CG pile onto Defiled Shrine. This additional triggered ability was recognized by the game as a side effect, so it gave you the option to exchange CG for Changeling. The reasoning is that maybe that triggered effect was your reason for distributing the CG, so it is no longer clearly better to distribute Changeling instead.
This is a similar resoning to when you are not given the exchange option when buying Gold (no side effect), but when buying Border Village (side effect of gaining another card).