There were dwemer satchel charges in Tribunal.
So at least some kind of explosive material exists.
Still. No guns. Not now, not ever.
Yes, there were.
Did they use gunpowder, though? I don't think there was any mention of how they were made and, honestly, I'd just assume right off the bat that Bethesda (and the Dwemer, from a lore perspective) would be more creative than that.
And yeah, I agree. Guns would ruin TES.