Like in some games guards might attack you for example.

This is one of those games.

why would a guard not come after you ?

Ok and is it just for that one pickpocket or will that guard tell other guards and then all the guards will attack?

you are criminal scum, of course guards will go after you, thats ther job last

but there is a new important feture with these guards, you have a bounty for that crime only in the hold you commited it in

Others will join in if they see one of their comrades (ie the Guard) engaged in battle. Also, civvies might help them out too.

Fair warning; Guards frequently skip right past the fines and hassle of arrest (not into paperwork I guess) and go straight to sending you to the loading screen.