Because they are dangerous to everyone!
Let us take a trip to Arrakis and elaborate a little on o.m.'s answer.
"The Slow Blade Penetrates the Shield" - Gurney Halleck
In the Dune series, melee weapons are often used, because they are the only option to safely bypass personal shields.
The short take on Dune's shield tech is that fast things (like bullets) get slowed down until they are useless. Comparatively slow things, like knives, can pass through the shield, when employed correctly. Energy weapons, like the Lasgun will result in a reaction with the shield that results in a catastrophic (nuclear) explosion, killing the wearer of the shield and everyone "within a large radius".
How can you use this?
Imagine a similar shield technology, that works the other way round. Stopping bullets, but maybe resulting in a critical buildup of compensated energy that results in a terrible explosion. You do not need a nuclear level event to blow a hole into a spaceship or collapse the building you are fighting over.
Some ideas why slow firing weapons are the solution
- The technology to bypass a shield requires a lot of energy and/ or the projectiles are large/ complicated to produce/ expensive. Hence, carrying thousands of projectiles is not feasible. The nice thing about bullets is: they are cheap and easy to make. If your guns launch swiss-made nanotech gold ingots, people will think twice before giving them a "rapid fire" switch.
- A capacitor / heat sink / thingamajig needs to recharge. (This has already been mentioned)
- They might be dangerous for the user. Each shot might carry a small chance of the weapon failing and injuring or killing the soldier.
To sum it up. Everyone uses shields, because you are basically dead without them. Nobody in an enclosed environment who wants to live, fires multiple bullets at a shield, especially not if the rest of the squad might do the same. Anti-shield weapons are bulky, expensive and complicated. In war you need to arm a lot of people in a cheap way, so slow firing ones will have to do.
In the end it is still easier to train someone to aim and pull a trigger than to spend years making a good swordsman out of them. Hence, the anti-shield musket remains the queen of the battlefield.