Gamefreak wasn't afraid to, I'd say that much, but over the years they've become more kid-friendly, and as have the people in their games. But first, before I go on, I do want to say that I haven't seen any instances of guns in the games, and the Pokemon world is deprived of many of the things that we have in hour world, thus being rather vague in several areas (for instance, how do they get power? Sure, there was a Power Plant in Gen 1, but it was outta commission. Then there's food, where materials come from, etc.). Anyway, if we are to assume that guns exist (or if they do, I dunno), there could be plenty of reasons. The first being that the killing of pokemon (or the simple harming of them) is considered "evil", and this is exhibited several times throughout the games. In our world, killing animals is something we barely care about (much to my chagrine).
Second, it might be illegal, and it probably is considering the purity and lighthearted nature of the law enforcement (and seriously, if you pay attention to the hundreds of criminals faced in pokemon, they're pretty light-hearted, too; they may be "bad", but they're about as harmless as Team Rocket after Season 1). And I doubt that ExtremeSpeed is faster than a bullet, by far. A bullet reaches its target almost instantaneously, there's not much room for being faster than that; in fact, it's impossible for beings that aren't from, say, Superman or Dragon Ball (And I'd say the latter of which are easily faster than any pokemon, bar none).
But let me raise the question back to you, why is Extreme Speed not so lethal? I'd say it's because it's a game, and while that may sound shallow, GF has shown time and again that they care little about what a move is outside of battle, even if they reference things that may or may not exist in Pokemon canon, it's one of the many reasons that I fell out of love with the game. Still, it doesn't matter much. Even if ES were as fast as a bullet, it wouldn't be nearly as effective, simply because the velocity, trajectory, and shape are what make bullets so effective, it is because of the shape that bullets can pierce most anything at least slightly. Getting hit by an Arcanine using ES would knock you back (pretty far), but a bullet might kill you. Same goes for Rock Wrecker (though, if they were pebbles, that would be a different story); a big rock will obviously crush you, but it still doesn't staunch the piercing power of a gun. After all, a rock deals with Bludgeoning, and it's thrown fast, but maybe just as fast as a Quick Attack, if that. They're to completely different categories, but a bullet to the head (or chest) would probably do a crapton of damage, maybe it would even cause death (though, still, the Rock Wrecker definitely would with a direct hit (depending on the target and the strength of the Rhyperior), the speed and mass almost assure that).
Guns aren't needed because pokemon are much cheaper and cause no reason for concealment. You could easily kill someone with a pokemon, and they are far more convenient for the aforementioned reasons. Why carry a gun when you can just Horn Drill someone you don't like? Sure, a gun is lethal and easy to use, but they're more trouble when you have strong pokemon with you. Killing someone takes little effort, regardless of your choice. In the games, however, this doesn't happen to the player because they are challenged to battles...for reasons beyond me. Really, battles are about as effective as Yu-Gi-Oh duels (and I'm not referring to the Shadow Games), they are meant to be competitions for recreation, structured tests of skill, wit, and tact made to test both contestants...but criminals use it. As in, criminals who could very easily just kill you, and have literally no reason not to, but nope, they battle you instead and let you get away if you lose, only to come back later and rebattle them. Pokemon battles are, for the most part, illogical in "practical" use, and the only thing that I've really seen do it in a mature and sensible manner is Adventures/Special.
And I did read what you said, but I still hold that, by comparison to most pokemon moves, bullets are probably more effective due to the superior velocity and piercing power due to size. They are the more lethal weapons, and they were made (in real life) to be superior to natural powers, what's to say that, in a Pokemon world, they wouldn't be even more powerful than they are in our world (especially with the properties and materials that exist in Pokemon; heck, I'd be surprised if they didn't have guns that could affect pokemon with metal and iron coats, it'd be rather unconventional if they didn't)? The fact of the matter is, regardless of the vagueness of the games, equating gunshots and moves to physics is quite effective; sure, it's not fact, but I'd say the theories presented are good enough.
Having said that, Pokemon isn't a game that relies on logic, it's not something that tries to present truly reasonable and sensical characters, moves, etc. It's a game that knows it's a game and completely acknowledges it, and it is because of this that so many inconsistencies exist. The world of Pokemon, really, makes no sense. It makes no sense because it doesn't care to establish how things work to the player, and I can't tell if it does this to not scare away the kiddies or because it honestly doesn't give a crap (I mean, if they found out that pokemon had sex or that pokemon were eaten and ate each other, crap would hit the fan- at least, Game Freak seems to think so). I've been hoping, for so long, that they would make a game that was rated T and would just make sense of it all...but that won't ever happen; it can't, for the same reason a Pokemon Adventures anime hasn't been made: Pokemon studios and Gamefreak are trying to play it safe. The kids don't care about these inconsistencies, and because no one calls "BS" they don't really care to do anything about it, especially since "playing it safe" is so much easier. Logic? Screw it. In fact, trying to use logic to make sense of this world of inconsistencies only creates more of them. Why? Because I'm not even sure the creators know. Maybe they did before, but they certainly don't, now, and it'd have a heck of a time trying to make sense of it at this stage. Then, disregarding the inconsistencies, there are SO many things that are vague, I don't think I could even count them all. A lot of our theories about these things couldn't be verified, anyway, because hundreds upon hundreds of things were made simply because Pokemon is a game, not because they care about creating a logical canon. Sure, we could debate a gun's power vs a move's, but it'd do little good, because the moves are some of the most vague things in the series. And then there's death. How does that work? Sure, there was Pokemon Tower back in Gens 1 and 2, but not only is death rarely ever mentioned after that, but it also makes one wonder how lethal moves actually are. Why do pokemon get stronger in increments? Do pokemon have blood? If so, what does it take to draw it? Why is it that 99% of moves that should definitely kill...any living thing, regardless of level, do simple damage? Do pokemon hold back in battle? How do they acknowledge that they're in a battle? How does a pokemon not level entire cities with level 9 Magnitudes, Twister attacks, or Earthquakes? What does it take to kill a pokemon? Does it matter to them? No, they'll leave that crap to the FanFic writers and RPers, they're the only ones that actually seem to care. I'm not even sure they can make sense of many of the inconsistencies without creating more nonsense. Even arguing this is nonsensical. There's no right answer, and trying to make sense of it simply won't work, especially since the moves have vague descriptions, they're based completely on their power and effect, rather than what they're descriptions describe or what they actually do. This is why I chose to RP; in roleplay, the world is what you make it. You can make things make sense and don't feel tied down by the inconsistency and restricted nature of the games. It's that open-ended nature that is really what should truly define Pokemon, but sadly, it's just the opposite.
