This episode really highlights one of Alpha Protocol's biggest issues, which is that some skills are blatantly better than others and it almost forms a kind of hierarchy of weapon skills.
Pistols are clearly the best weapons in the game. I do not think that anyone who plays this game can really dispute that. They allow you to equip silencers, have pretty decent range and power, are easy to make critical hits with, can make shots from behind cover, and have Chain Shot, which allows the user to make up to 6 headshots at the same time (depending on the player's ranking in Pistols). The only downside is the lining up the sights for critical hits can take a bit of time.
Assault Rifles are the next best weapon in my opinion. If you don't want to use Pistols, they are your best bet. They allow you to line up your sights similar to the way a Pistol can, but they don't require a target to lock on to the way a Pistol does, so you can sit and wait for enemies to walk into your sights. This combines well with their incredibly long range. Their power is Focused Aim, which is not as good as Chain Shot, but still very solid. It temporarily slows down time and gives Mike's Assault Rifle an auto lock-on where the cross-hairs track enemies.
Next, we have Shotguns. As you would expect from video games, shotguns are strong, but are really only good at close range. Their critical hit mechanics work in that all that is requires is holding down the aim button long enough and then firing, which will knock down targets. Their special power is Room Sweep, which makes all shots critical hits, along with a higher rate of fire. I wouldn't recommend specializing in Shotguns, but they can make for a decent sidearm.
Lastly, my least favorite weapons are SMGs. SMGs are good for clearing small rooms, which is a situation most players won't incur very often in Alpha Protocol. They don't necessarily have a critical hit, but rather a damage multiplier. As enemies are wiped out with the SMGs, the multiplier increases. Once you reload, the multiplier is reset at one. SMGs offer the Bullet Storm skill, which makes your clips bottomless temporarily, but you are forced to reload once the skill is over. I honestly do not see much of a use for SMGs. They are points better spent on other weapons.
(As a side-note, my copy of Alpha Protocol came with a "Stealth Pack" that included a Pistol and an SMG. I guess SMGs are more "stealthy" than the Assault Rifle and Shotgun in the "Combat Pack," but really they have no business in a Stealth Pack.)
Gadgets are another discussing entirely, and exist somewhat outside the combat skill hierarchy. Alpha Protocol throws all the Lockpicking, Hacking, and Gadgetry into a blanket "Sabotage" skill. Combined with Technical Aptitude's passive bonuses and it's Brilliance skill, I suppose it would be entirely possible to create a gadgeteer character, but I do not think I could recommend it. Gadgets are an expensive investment which can often preclude players from higher level weapons and armor. Fortunately for gadgets, most players will likely invest a bit in Sabotage anyway for the hacking bonuses (which also give more money from infiltrated computers and safes), so it's not a huge hit to skills. Also, most players will want to make investments in EMPs and First Aid Kits to make life easier.
And, for the record, the skill to disable devices with EMPs w/o damaging systems is available at Rank 1 of Sabotage. It basically allows you to use EMP grenades to bypass hacking minigames. We should have been able to do that, but I imagine that it was disabled as part of the training.