With all due respect, it shouldn't matter if a veteran died in battle or not. For that matter, the vast majority of Confederates who died on the battlefield rest in unmarked ground. If there is a real grave (not just a memorial) for Jesse M. Lord in Wilkinson County, it's almost certain that this man returned home from the army.

To answer your other questions, Co. "D", 57th Georgia Regiment was recruited in Wilkinson County. Joseph H. Lord, who appears in the same household as Jesse M. Lord, served in this company. Jesse M. Lord, who served with the 4th Georgia Regiment, enlisted in nearby Macon GA in late 1863. He's at least two years younger than Joseph H. Lord, so it makes sense for him to have enlisted later. The other Jesse Lord who appears on the 1860 census for Georgia lived in Jackson County and was 38 years at that time. He's the man you've seen in the 4th Georgia State Guards.

IMHO the reference you have to Jesse M. Lord serving in the 57th Georgia is in error. If you find evidence to the contrary, please post it here.