If that's the case, wouldn't there be no point in unplugging devices?

No, unplugging works because cables are antennas. Power cables being disconnected dramatically reduces the ability for the lightning to couple into the device

The device itself usually has shielding, capacitors, transient suppressors, etc… as well as usually designed to make a poor antenna so on it’s own it will be affected much less than when charging

Surge protectors do work, mind you - but only for weaker storms or pulses coming in from the outside power lines. Just by physically being separated from the final device they are limited in how much they can protect from direct coupling

Unplugging works but it's pretty impractical, you basically need to be always awake an always near your devices to make it work.

There is also a risk of electrocution when unplugging a device during a storm.

I suppose the difference is that surge protection provides a guide to a possible circuit. Whereas unplugging greatly increases the micro-states where you are not in a viable path.