There are two significant disadvantages to the gun device:
1. You need more fissile material, so it takes longer to make (starting from the day you get your enrichment plant running).
2. It's got to be big. Too big and heavy for a portable device, and very inconvenient for a clandestine one.
Of course, the above considerations apply for an actual fission bomb, not a 'dirty' scatter-radioactivity-with-TNT one.
Too big for an ICBM. Several would fit in a shipping container...