Well, first you have to ask whether wizard shields actually do prevent inert lumps of lead from hitting their caster. They seem well-optimised for stopping charms, but presumably that relies on the magic in the charms, opposed by the magic in the shields. No doubt a wizard can shield against firearms, but do they as a matter of routine?

Second, because Muggle Britain has thousands of scientists who would like nothing better than to crack the Secret Of Magic and, incidentally, mass-produce magic bullets each with the force of a low-level anti-shield charm. Which you can then fire from machine guns wielded by conscripts with two weeks' training.