I would assume it is meant to imply that the Brotherhood is everywhere - even the city guard. The fact that it gets repeated so much is probably just an unfortunate side effect of the "Walk past someone and they talk to you," thing.
IMO the guards that do worship Sithis should atleast help you out a bit, maybe he didn't see you or gave you an extra lockpick if you get thrown in the slammer.
First guard that said this was in Dawnstar the second time it was Markath and the other was Windhelm if I remember these instances correctly.
AND so far no one EXCEPT a few guards notices I'm an elite assassin for a cult. I just thought it weird and was wondering if there was a part of the story I missed somewhere or have yet to uncover.
Edit: BTW the Brotherhood in this one seems way more rewarding in terms of gameplay than it did in oblivion. When I was initiated I was thinking "Dam that was awesome"