The general answer has already been covered - their magical shields protect against projectile weapons. (Though of course there's always the feeling that the use of massive projectiles would overwhelm them.)

That said, and something I don't think anybody else has mentioned in the thread, in the first Dune novel when the Sardaukar land on Arrakis and have a bunch of fights after the betrayal they _do_ use projectile weapons, which has the affect of trapping the Atreides who'd retreated into caves.

It is brought up later that these weapons aren't worth returning, because their use was a one-off. These cannons were considered a "quirky surprise" rather than a useful weapon.