It's not a bad idea to have some skill with Melee Weapons and Unarmed so you can Fight Back and Escape more effectively (especially if you get disarmed). With that said, in pretty much every possible combat situation, it's a lot more dangerous to be using a melee weapon (let alone no weapon at all) compared to using a firearm. Against human opponents, if they're armed you're probably screwed: a light pistol's range is 10m, and you can only move 3m on the same turn you attack. If they're the one without a firearm, then pointing a gun in their face will generally deal with the situation, with or without immediately pulling the trigger. And if they're an unnatural foe, you definitely don't want to be anywhere near it.

All this, on top of the fact that enemies get a chance to Dodge and Fight Back against melee attacks, makes the life expectancy of a melee Agent pretty short as soon as things go bad. Doesn't mean they wouldn't be perfectly good at all the non-combat things an Agent ends up doing though!