As a matter of fact, the dangers of Muggle weapons are what the entire anti-muggle propaganda of Gellert Grindelwald was based upon. The ting that Grindelwald and those who followed feared most was the atomic bomb of which Grindelwald correctly predicted it would be used in the upcoming Muggle War (which was in fact WWII). The first two fantastic beasts movies do take place in the period between WWI and WWII, after all...
Also note that not many wizards see the importance in repelling the "Dark Muggle Arts". This is shown in Fantastic Beats when the door keeping Newt away from saving Tina from an execution was protected against all kinds of spells, but was then easily kicked open by Jacob. As no wizard would ever think of that (Jacob only thought about that due to him being a Muggle, or No-Maj, so only knowing Muggle tricks) the door was unprotected against those tricks.
Although I do wonder if a simple protego charm could ward off bullets. The Avada Kedavra curse was known to be unblockable. Rowling never fully stated how effective protective spells are against guns and stuff.
