I understand where you might think that, but you can't accidentally burn down all brick buildings. You have to set a brick building on fire for it to catch fire. Brick can't be put on fire only the wood infrastructure inside can and when that wood disintegrates the bricks collapses.
They were mad and started looting the city out of control, because they didn't want their military supplies to fall into the hands of the union soldiers. So, they ended up burning anything they saw not only military supplies out of anger.
