I've cooked whole fish with the guts in and the scales on. I just drop them in the glowing embers, then turn them over and do the other side for a while. The scales help to protect the flesh. The skin and scales turn black, but when you peel this off the flesh underneath is beautiful. The gut shrivels up a bit and you can discard it along with the bones. It is particularly satisfying to do this on a fire that you have lit by primitive means, and any visitors or kids you may have with you might find the experience to be particularly memorable.
I've never cooked a whole animal without gutting it. But cooking one with the guts in wouldn't concern me too much in general.
I have a book called "How to Survive in the Bush, On the Coast, In the Mountains of New Zealand" by Lieutenant B. Hildreth. He describes a method of cooking hedgehogs where you don't gut it or skin it. You just cover it with a decent layer of clay, lay it in the fire and pile burning material over the clay. "When the clay ball is broken open the spines will be found to adhere to it and the gut will be shrivelled into a ball". I've never eaten hedgehog, but I see a lot of them.
I think this method could also be applied to birds...feathers on.
Dogs and other predators eat an animal's guts with relish....sometimes it might be the first thing eaten.
I don't eat guts as a rule (except for natural sausage casings and tripe). But I do like to eat the offal when I think it is safe - the heart, liver and kidneys. In the last few years I have stopped eating the liver of possums and pigs where I think there may be a danger that people have been using poison in the area in the last year or so. I understand that the liver is probably the part of the body that stores most of any poison built up in the body.
When I do eat a liver, I cut out the bile gland first (if that's what it's called... the green looking gunky thing), taking care not to spill its contents over the rest of the liver.