We're back to 'who are protected groups and why are they protected.' The answer lies in America's history of abusing and discriminating against these groups, thus requiring protection to be legislated. The fact of the matter is that there is no rich history of Americans discriminating against firearms manufacturers. So, no, they are not a protected class.
The second issue that arises here is that there is a more evident conflict between the 1st amendment and 14th amendment. In the bakery case, the bakery decided to refuse service to the customer solely based on the customer's sexual orientation. As the judge points out, simply providing a service (baking a cake, taking photographs, etc) is not an action of free speech, even if it has an artistic quality. However the judge also points out that the bakery or photographer could refuse specific requests that would cross the line into free speech. For example, if the customer had requested writing on the cake that the bakery found objectionable, they could refuse to do it. This is how Shoprite was able to refuse making the 'Happy Birthday Hitler' cake.
Providing access to advertisement, as is the case with ESPN, will almost always run into this conflict. ESPN must provide equal access, but they also have the right to control the speech they provide under their name. That is why they can refuse commercials that they consider lewd or overly violent. Furthermore, it is difficult to say that ESPN discriminated against any particular religious group. If they had allowed Lutherans to give a Christmas message but not Mormons, that would be a very different case.
The rulings for both cake and photography cases address the conflict between free speech and equal protection. And the court seemed pretty clear on what constitutes speech in both cases. Baking a cake and taking photographs were not considered 'speech' in regards to a public accommodation.