If one thinks about it, training a mage is much much cheaper than producing weaponry, and then training soldiers to use said weaponry. Once a mage is trained, there is no upkeet cost, no ammunition, and no trouble moving it around. Mages are a million times more mobile than, say, a cannon (considering teleportation, flight, etc), and far more useful. A mage can allow an entire army to walk across water if need be. A cannon can't do that.
I kinda think the opposite after thinking about it.
Training a mage is a lifelong study per say, as there is always more to find and something to improve. Even if there was a standard where someone was deemed "trained", there is always an upkeep cost! You have to pay to keep them on retainer, and spend time to keep them interested in working for you. With all those skills, you can't afford to let them start freelancing their skills everywhere or letting someone else hire them after you've spent years training them. If they know mysticism, they can teleport away from you when they're unhappy. If you teach them illusion they can turn invisible and diddle your wife. You can only wrangle so many of these mages to your side at a given time because they're expensive in all the worst ways.
It takes half an hour to teach a group of peasants how to load and fire a gun. They won't be crack shots, but with those guns, it'll never be an issue. You stimulate the hell out of your economy by buying lots of weapons and getting some good trade going. With those guns you could obviously tear the hell out of any army of similar size against you. Situations like the Last Samurai aside, if your troops already were trained for melee and you handed them these guns, they could take out the first few rows of the enemy's best troops before they made their own charge. And you can salvage all the broken guns to make new ones.
If you get a mage drunk before a battle, he's worthless. If an assassin kills your mage before you fight someone, you're out of luck. If your mage has bad information, you have a Firsthold Revolt situation on your hands. If your enemy hired a better mage or two than you, you're screwed.
Also with some statistics: Mages in Oblivion were 8% of the population, but considering the make-up of the game and severe lack of grounding with the population demographics, I think it's completely fair to say that there would only be 2% or less of the people who were well trained in some school of magic. Even fewer would be good in multiple schools. How many people in Tamriel can be trained to operate a gun in half an hour? 98%.
This is why I don't want gunpowder in the games.