

To be fair, I think that’s to check if their reflexes include unknowingly using magic to protect themselves. That should only work if they’ve perceived the danger, like putting out your hands to stop a fall.
Shooting someone would (if they’re being properly ambushed) usually result in them being shot before they realise it, so it wouldn’t matter if they’re magic.
But if they do realise they’re being shot at, then why defence magic at all? Just use your innate magical reflexes to avoid death!? Why the need to learn how to block spells?
So either guns would work, or they wouldn’t and it’s not explained at all.
Also Hermione slaps Malloy at one point. If his innate defensive magic reflexes didn’t kick in then, no reason to think they would if he was hit with both barrels from a shotgun to the chest.
I’m more surprised they didn’t try to corner the thieving and grifting market for their own.