Visualforce page cannot be accessed from guest user

1. You have to set up an "aura:application".
2. That aura:application needs to extend ltng:outApp
3. The aura:application must use the component(s) as a dependency. This is key, otherwise you will see some odd behavior.
4. Your error looks like you might be including an extra protocol (extra https://) somewhere in your code.
5. You could also supposedly do this without an aura:application and use LC4VF (lightning components for VF) instead, but I haven't seen a working solution of this yet.

6. Here's a working example of a VF page that includes 3 components (3 dependencies in the aura application):

   <div id="sldsSpinner" />
   
   <script>
       $Lightning.use("c:MyAuraApp", function() {
               $Lightning.createComponent(
                   "c:MyComponent1",
                   {},
                   "formSelection"
               );
               $Lightning.createComponent(
                   "c:MyComponent2",
                   {},
                   "objectSelection"
               );
               $Lightning.createComponent(
                   "c:MyComponent3",
                   {},
                   "fieldSelection"
               );
           }
       );
   </script>
   

Here's what my aura:application looks like:

<aura:application access="GLOBAL" extends="ltng:outApp">
    <aura:dependency resource="c:MyComponent1" />
    <aura:dependency resource="c:MyComponent2" />
    <aura:dependency resource="c:MyComponent3" />
</aura:application>

Found the Issue, It is just a Permission on the Profile for Lead.