Is it natural for the guard in Calcelmo's Laboratory inside the Dwemer Museum of Markarth. I entered to look around, knowing the door was locked I used his key to enter his Laboratory and started to browse around than the guard started to attack me.

I'm not sure if the guards are hostile all the time, but I watched my fiance enter the Laboratory while doing a quest for the Thieves guild; he had to use the key on the door and when he went inside, the guards attacked him if he was detected. This was easily avoided by sneaking around them, though.