Optical surface guided electromagnetic waves (SGEW) of the second order diffraction in cholesterics are examined in the framework of dynamical diffraction theory. The dispersion equations are obtained and analyzed. Allowed SGEW frequency band and directions of propagation (relative to the orientation of director at the cholesteric surface) are found. The dependence of SGEW penetration in cholesteric on the frequency and propagation direction is investigated. It is shown that two of the four different SGEW modes of the second diffraction order have unusual polarization properties changing with the SGEW frequency.