That is where the lore doesn’t match in game. Goblin tech is consistent to the point they have mega cities all over the world. It is consistent enough that bombs and bullets are everywhere and used everywhere.
The only reason some still use magic and swords is because that is just the setting, like in Warhammer.
Why still uses axes when they have nukes in Warhammer? Because it is fun to see things best each other with sticks. Same with marvel and Captain America. Dude just uses a shield when there are magical power armor right there for him to use.