Are you unguilty of sin if you never heard the gospel? Jesus says that if he had not come and proclaimed the gospel, that those hearing would not be guilty of sin.

If I had not come and spoken to them, they would not have been guilty
of sin, but now they have no excuse for their sin. John 15:22
If I had not done among them the works that no one else did, they
would not be guilty of sin, but now they have seen and hated both me
and my Father. John 15:24

What is the belief held by the various churches over this matter?
The sin Jesus speaks of here is the sin of rejecting Him as the Christ. Jesus is condemning the people of the world who hate Him and warning his disciples that the world will hate them also because they bear His name (John 15:18-21).
If God had not sent Him into the world, they would not have been guilty of rejecting Him. If they had not seen His miracles, they would not have been guilty of ascribing His power to Beelzebub, the prince of demons (Luke 11:14-20).
Here is an extract from a sermon delivered on 16 May, 1858 by the Rev. C. H. Spurgeon on human responsibility, based on John 15:22: “If I had not come and spoken to them, they had not had sin: but now they have no cloak for their sin.”

THE peculiar sin of the Jews, the sin which aggravated above everything their former iniquities, was their rejection of Jesus Christ as the Messiah. He had been very plainly described in the books of the prophets, and they who waited for Him, such as Simeon and Anna, no sooner beheld Him, even in His infant state, than they rejoiced to see Him, and understood that God had sent forth His salvation. But because Jesus Christ did not answer the expectation of that evil generation, because He did not come arrayed in pomp and clothed with power, because He had not the outward garnishing of a prince and the honors of a king, they shut their eyes against Him, He was “a root out of a dry ground,” He was “despised and they esteemed Him not.”
https://www.spurgeongems.org/sermon/chs194.pdf

It’s a lengthy sermon (8 full pages) and in the final section Spurgeon warns his audience of the sin of rejecting Christ having heard the Gospel.  But when Jesus spoke his words 2,000 years ago, he did not actually say that the Jews (especially the religious leaders) were guilty of sin because they had never heard the Gospel.  The sin they were guilty of was of rejecting Jesus.  The Gospel message had not yet been released to the world – that would not happen till after Jesus’ death, resurrection and the arrival of the Holy Spirit at Pentecost.
Context is everything!  This belief is in accord with Reformed Protestant theology.