Here's a couple Protoss concepts. The left one is a hero idea of a Protoss in power armor like the Dragoon or Immortal. The right is an idea for a mystical Protoss tribe that resides in the Void, with a more Aztec look.
I have always been irked by the most advanced race in the sector using energy blades instead of a mix of melee and ranged attacks. They leave themselves completely open to attack from the sky and the only ranged infantry are cyborg scouts, not main infantry. This seems ass backwards when the Terrans have main infantry that can counter all unit types with the exception of powerful armored targets. Personally, I think protoss need to function like the hydras, firing at range until enemies are in melee range before they engage in a melee fight. On that note, if that Hero has an effective counter to air units, either in power or weapon form, I support it.
Well in order to understand a civilizations battle tactics, you must first look at their technological growth and culture.
Think of the Protoss as a civilization as Samurai. Honor-bound warriors. Most likely they didn't have a need for guns as the ability to form a shield with their mind would nullify that. So naturally when an opponent has a shield like that your best option would be to go in there and finish it rather than engage in a practically never ending firefight (just hide in cover until your shields recover).
Not to mention with the speed that the Xel'naga uplifted them they probably didn't even take the time to invest in firearms and instead focused on mounting weapons onto vehicles as those kinds of weapons would prove their worth in taking down shields before the enemy can recover them.
And the Samurai died out because of fire arms. There is no room for specialized one on one combat when faced by enemies with guns. There is a time and place for honor-bound combat. It is not the future.
It is when you have shields that can deflect most firearms. If the Samurai had the shields that these guys did, firearms wouldn't have been a problem. The main difference between them and us is that they found a way past firearms as none of them proved strong enough to take down shields unless they were so big that it took a vehicle to hold them.
Also that last sentence... Jedi. Tell me I'm wrong there and I'll consider it.
Jedi are as bad if not worse than Protoss. The rely heavily on a sixth sense and fight using Asian martial arts styles. But they, at least, are smart enough to use their abilities to hurl objects at opponents, and like the Samurai, they were killed off. And I realize that High Templars used a form of ranged attacks, but they are few and far between. That still leaves the much more numerous zealots charging into battle to die 'with honor'. Based on the fact that they are now fighting Terrans, humans in power armor with gauss rifles and grenade launchers that can take them down at range, would it not be prudent to devise a way to fight back in a similar fashion? And why not hurl Psi blasts instead of using Psi blades? Tactically, the Protoss are at a disadvantage. I believe that the fact that they rose to fight the zerg, a vicious race of melee combatants, contributes most to their own use of blades. Even with that in mind, I still feel it would be tactically more sensible to take them down at range and only engage in melee when engaged at close range. Thus, would it not make sense that they would be armed accordingly? Both a blade and ranged form of attack? Were they only fighting amongst themselves, it would be fine to use traditional methods of combat. But they aren't. They are fighting two different races that engage in very different tactics from their own. In war, one must adapt to survive. The battle field is a constantly evolving thing.
It is one that is constantly evolving. besides seeing as of how the Terrans and Protoss were near evenly matched until they remembered that the Zerg were still there. Even now the Tera'zim (I think I got their name right) are still a major threat to any Terrans that try to get onto any of their planets. I mean look at the Archon. it's shields are so powerful that a Laser Mining Drill was your best defense against them in one mission. But that was the Archon whose health is pretty much its shield. (A marine could down one with two bursts, a Zealot takes 4.... I think, I haven't measured these things but it's pretty easy to get the gist of when you've beaten the game.)
The reason why they haven't changed is because to them, there is no need to. One Zealot can close the distance between it and a Marine before its shields break (I think, I haven't really measured it exactly). Even quicker if they have the leg augments. Although I don't doubt your reasoning, guns would be better against the Zerg and Marines.
Also about the Psi Blast thing. Not all Protoss can do things like that and even then it wasn't the strongest thing. Now having a telekinetic unit that would launch rocks and debris would be much better. However they would still need to be strong Psionic in order to pull that off. Besides even Psi Blades are hard to conjure for a a Psionic, they need a gauntlet in order to make the weapon last a battle. But it's probably the easiest thing to conjure up. Just bend a lot of energy towards a point, a Psi Blast would be so much harder. You've got to collect the energy by completely changing its course rather than alter it. They you've got to launch it and keep the energy locked there which should be easier than making it. All in all a bit too much work.
Now before you say that Kerrigan's Psi Blasts were strong. She's an exception, she got so strong with Psionics that they had to make a new classification for her. She could pull down a 2 kilometer long Battlecruiser for crying out loud.
Also they do have guns. Or did you forget about the Stalkers, the Immortals, or even the outdated Dragoons? Like I 'kinda' said before. They don't have a lot of guns, but the ones they do have are big. When you fight against an enemy like the Zerg. Small guns don't do much, I mean nearly any gun from the Mass Effect universe would be useless against them (even when disregarding the natural carapace). Fighting against the Zerg pretty much means that if it doesn't make a big hole, it's not gonna be effective.
Now the Jedi were a different matter entirely. They got cornered by an army built to arm a Galaxy. Besides the Jedi were definitely effective. In a battle when the enemy fire is not concentrated, they can easily deflect any projectile that flies towards them. When in close range they can easily outmaneuver any gun and with a blade like the Lightsaber you can get away with it. Their weakness however, is the fact that when gunfire is concentrated on them, they can't deflect everything.
In all reality the effectiveness of a melee weapon hinged on whether or not they can close the distance. The Samurai were unable to close they distance as they had no defense against the firearms. The difference between then and now is that these guys are able to close the distance, even with the Terrans being armed with gauss rifles and grenade launchers.
Now think about this. The Marines are using Rifles that fire 8mm Armor Piercing Rounds, better known as spikes. That can pierce 2 inches of steel plating. These things fire off about 30 rounds per second and the Marine's bursts last about a second. Their shielding takes several of these bursts to break. That means that these shields were strong enough to withstand rounds that would take down so many vehicles today. In today's terms that shielding would be overpowered as hell seeing as the standard issue guns now (for the USA Army) fires 5.56mm rounds and those are only meant to pierce body armor.