I really appreciate that there's one character in Demon Hunter that has a gun. It works, and is incredibly effective... against lower-level demons. The world-ending upper-rank variety need at least a decapitation, and half the time, a secondary decapitation or dismemberment of some kind. Simply asploding demon parts with one or two shotgun slugs is not enough in that case.
As a storytelling device, it really grounds the entire power-system in both the supernatural and super-human. We get periodically reminded that a gun absolutely holds its own in raw firepower, but the situation is just a bit more of a problem than it can handle.