For me the inclusion of guns does detract slightly for a couple of reasons:
1) They have been careful to downplay firearms as "complex curiosities" that are impractical in most situations. While this is a good thing, it strains plausibility slightly given what we know (in real history) of the extremely rapid advancement of gun technology because to it's dominance over prior weapons. Because of this we have to believe that we just happen to be exploring the Pillars world at a point in history just before guns take over.
2) For me, fantasy settings are appealing because they are largely absent modern or industrial-era technology. Things are hand-crafted. Using tools, yes, but the emphasis is on the craftsman, not advanced tools and technology. This is a pleasant escape from our modern real-world where individual craftsmanship has been more or less completely displaced by automation and the economics of industrial scale mass-manufacturing. Also, because of point (1) it may feel like the Pillars world is about to have its craftsmen similarly displaced.
3) Firearms carry a massive amount of conceptual and historical baggage with them which I'm concerned will constantly be tugging my imagination into assumptions and preconceptions that I carry due to knowledge of real-world history, pulling me out of the Pillars world slightly. One thing I loved about Planescape: Torment, for instance, was how utterly detached and original the world was, allowing for total immersion in the lore.
These are pretty minor grievances though. Just some thoughts.