Luccio and Morgan didn't and Luccio's not the kind of person who doesn't keep up with the news.
If you want to have fun arguing that the more experienced persons on a job somehow know less about how to do it than the newbies, go ahead. I do not want to fall into that particular trap.
Not so much that they know less about how to do it, as two factors:
1. Luccio and Morgan are already two of the toughest battle wizards on the planet; they've been doing the job for centuries and decades, so they have enough confidence in their own martial abilities and probably don't feel they need guns (though if I'm not mistaken, Luccio is described as having a revolver at one point).
2. Ramirez and the others are untested newbies, so the guns and grenades are a
crutch. They're simple, reliable technologies that they can use without effort in situations where their comparatively untested magic might be a liability.
On encountering a room full of Reds, Luccio would just be able to instantly fry them with a precision blast of fire since she's been doing it forever and knows exactly what to do in the heat of the moment. Fresh-out-of-boot Warden Yoshimo doesn't have that experience, so she can fall back on throwing a grenade into the room instead of making an attempt at magic.
There's also longevity to consider. Bear with me while I talk some RPG stuff.
Magic taxes mental resources. In the game, this is tracked with the stress track, and the TL;DR is, your average PC wizard can sling four or five spells in a single conflict before they start giving themselves serious mental damage (think Harry burning himself out in Fool Moon). There's a couple ways around this for extended fights for the average PC wizard
1. Enchanted items like Harry's rings, which store a spell and don't tax the wizard to use -- these take up character creation resources that are limited and have a cost to increase
2. Guns and mundane equipment -- these are effectively "free"
Now, older, more powerful wizards have access to other tricks -- the Paranet Papers adds Mental Toughness powers which, among other things, adds a bunch to the stress track.
With the highest level of that power (which someone like the Merlin or Ebenezer might have), a wizard can cast
10 spells before they start running out of juice.
So that's the difference, really -- for longevity purposes, someone at lower levels like Ramirez is going to go with guns as a "cheap" way to last more rounds in a fight without giving himself a crippling migraine, while someone like Luccio has built up enough mental strength they can just keep casting even after their younger comrades are tapped.