A security license, and not all states even have them, is just a requirement for employers. You get hired by a security company and you're required to have the license. But the actual carrying of firearms on someone's property, still relies on the agreement between the property owner and the person carrying a firearm. In the case of security guards, it would be the property owner and the security company who then transfers that authority to the individual guard temporarily.
So it really wouldn't matter if you went through the training to get the license. You're still not employed by a security company, and more importantly, you don't have an agreement with a property owner to carry guns on their property. For instance, with public schools, even if you were licensed, you would not be able to carry on school property because the school does not have an agreement with you allowing you to guard their property.
A security guard license is not a "exempt from gun free zones" license. It's just a state mandated level of training required for someone to be employed by a company who then can have limited exemption from gun free zones in the course of performing their duties, and only in specific places and at specific times previously set by the agreement between the company and the property owner.