Pseudo: The same reason we used crossbows / guns in favour of longbows in the real world.
Every fucker can use a gun or a crossbow. It takes training to use longbows.
The thing is, both of those are direct upgrades, or smaller versions of direct upgrades to siege weapons, and the people who were in a position to invent them couldn't do better just by glaring at whatever they wanted destroyed. Any possible precursors to useful technology would be grossly inefficient and impractical compared to the magical alternative.
Crossbows are "upgraded", easier-to-use bows, not much more. While the first record of crossbows, if I remember correctly, depicts a stationary one, it was by no means a siege weapon. Unless by "siege weapon" you refer to a defensive weapon used during sieges (semantics, I know), but from the context that doesn't seem to be what you're saying.
I suppose I lumped all particularly heavy weapons into the category of "siege weapons" there. It doesn't help that I recall bringing down gates and walls in Total War games with ballistae... My point was that in both cases even the primitive precursors of the device were upgrades in their respective field. In the case of applied gunpowder vs magic, it's a distinct downgrade, as mages are the equivalent of early twentieth century artillery in a more controlled, man-portable form (at least if you think about it realistically: they can summon balls of exploding fire with a thought, yet for game balance reasons being engulfed in fire doesn't really... do anything...
Of course, even Dragon Age, where Mages are considered grossly overpowered compared to everything else, doesn't really represent "giant fucking ball of fire exploding with fiery flames of death" too realistically; unrelated to the topic at hand, but I recall someone commenting that they'd never seen an RPG where NPCs would avoid stationary hazards like walls of flame or whatnot: in Dragon Age NPCs will run around the large persistent area of effect spells that can be cast, like earthquakes and storms, rather than through them, if it's possible to do so while still getting to their target), and mages are presumably the only ones educated enough to create gunpowder in the first place, let alone a device that could use it.
The latter part of your statement also relies on magic being commonplace, which is obviously not the case. If it were so conventional, there would be no need to give soldiers weapons or armour in the first place. The reasons they're still supplied with arms, despite magic existing, is the same siege equipment would still be used and needed.
Magic does appear to be pretty common, and there's no indication that it's arbitrarily restricted to certain individuals who are just "born with the gift" or some other nonsensical idea. It would appear to require formal training or somesuch, meaning it ends up restricted to those who happen to buy such training or stumble into it, which would be much the same sort of circumstances that would restrict engineering and such.
Considering that gunpowder was thought to have arisen from alchemical experiments by the Ancient Chinese searching for an elixir of immortality, I find it extremely dubious that the people of Tamriel wouldn't stumble upon it as well.
There's a good reason I said "proliferation," rather than invention. There's a whole lot more to a device being proliferated, studied, and improved than it coming about in some wizard's laboratory. If I recall correctly the Chinese only used the gunpowder for fireworks, rather than anything practical, so the use as a propellant in a firearm is not as obvious as it seems in retrospect (and even the obvious use of "oh look, pretty colors and explosions!" requires the same level of expertise and training that producing similar (or more likely far nicer) illusions would).
People are taking the view that these devices are obvious. When you have people who can fly and rain exploding balls of fire onto their enemies, and they constitute the educated class, why would one think "hey, let's put this fast burning powder in a tube, with a little metal ball in front of it, and then jam a burning piece of wood through a little hole to launch said little ball really fast, so that maybe it hurts someone!"?