Assuming the hero with guard waits until the monster has started moving, you are correct. The first monster has already been activated when the stun token is placed, so the point in the activation sequence during which the OL resolves the stun effect is already passed for this turn. If the hero interrupts as soon as the OL touches the first monster (ie: as he is activating it, before it has moved or attacked), then the game can reasonably be rewound to just before the monster is activated, and the stun would be applied and then resolved immediately.
Technically the OL is supposed to allow time for the heroes to interrupt before proceeding with each action that can be interrupted, but that means waiting between each space a monster moves, before each attack and yes, before officially activating each monster. Most people don't actually play that way because it's insanely pedantic, therefore the rules allow for a short "rewind" if the OL has already started an action before the hero has time to pipe up and say he's interrupting.
As for explaining the situation you describe, when stun is applied after the monster in activated, have you ever been bopped on the head hard enough that you have to literally stop what you're doing for a second and say "Owww!" out loud? That's basically getting stunned in Descent, from what I can tell. Has that ever happened to you while you were in the middle of walking somewhere? Even if you're slightly disoriented from the impact, you can usually manage to take a couple of steps before stopping if you were already in motion, so although the situation might seem weird mechanically, it can be explained thematically. (Making an attack on a hero after stumbling a couple of steps forward is a bit more of a stretch, but you have to figure the weapon/claw/whatever was already raised as the monster was moving forward, so dropping his arm/releasing the arrow just sort of happens naturally.)
PS: Do note, however, that this "rewind" effect is a rewind in all respects. The OL is NOT required to continue with the action he was in the middle of performing if the interruption changes things in such a way that he no longer wants to do that. The game has been moved back to before he started that action, and he is free to change his tack after the interruption is resolved. The most common example of this is if the OL begins an attack and gets interrupted by Guard. After the Guard is resolved, the OL may or may not decide to make the same attack he had previously declared, assuming the monster in question is still alive to continue its turn, of course. Understanding the "rewind" rule becomes really important when delaing with Tahlia, in particular.