What bodenn said, it's part of the service they offer and I imagine if one of them tried something they wouldn't be in the guild for long. I've actually used them to 'mail' an item to a character in a different zone (I moved the char to the rings first).
Having said that, I've had random people ask me to do trades in the tunnel and I always comply (if I'm not afk!). Had someone hand me a fungi just last week! (I assume he did a /guildstatus and saw I was an officer of Castle so maybe he felt safer, but it didn't come up).
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