I think many people just prefer the middle ages and early medieval periods, long before gunpowder. Having full plate in a setting like that may technically make as little (or as much) sense as guns, but to someone who doesn't know history it's far less of a stretch. Guns change everything, slightly thicker armour doesn't.
Personally though any setting works for me depending on how well it's done. The mechanics may not be perfect in Pillars of Eternity but they nailed the overall feel, including the guns. It's just incredibly satisfying to play a stealth character that sneaks up behind folk and shoots them in the back of the head to initiate combat. The sounds and animations are fantastic.