Sophos SD-RED 20 and VLANs

This kind of design can work in smaller setups, but is not recommended for larger setups (Multiple REDs).

You need to bridge the LAN port with the RED. Then place the VLANs as you want on this bridge. 

You need to have Standard/Unified on RED to get this working. 

But if I put the XG port that is connected to my core, in a Bridge with RED, I will lose the other VLANs that are configured there.

But if I put the XG port that is connected to my core, in a Bridge with RED, I will lose the other VLANs that are configured there.

You can place as many VLANs on the bridge as you want. 

Okay, I'll need to put two REDs in different locations, would it work the way you said?

Yeah, 2 RED should not cause much issues. If you scale this scenario up to multiple locations, this can get complex and a bridge with so many network interfaces is not recommended. 

And what would be the ideal scenario? Of all the VLANs, the only one I need in branch offices is Guest.

From my point of view, expanding a VLAN is not a good idea. You should look at those locations as a own network and segment it there from a segmentation perspective. To expand the same VLAN to all locations would mean, you span the same network subnet to all locations, which means, all broadcast packets will be transfered to all locations. By segmenting in own VLANs with own subnet ranges, you have a clean cut between those networks. 

I understand, but in my Guest network, I have a Hotspot (Mikrotik) configured where users create a registration to be able to use the Internet, so I have navigation logs, according to the data law of my country. Setting up another Hotspot in the branches will be laborious and complicated to maintain.

My interfaces are configured as follows:

This is the topology of my headquarters:

As mentioned, you can do this for 2 REDs, but if you want to expand, you should rethink your design about the Hotspot.