Just throwing my two cents in;

Gems probably don't wear armor because its innefective. Sure, Bismuth forged a whole new weapon for rose, some upgrades for the gems, but I don't remember seeing any armor in her forge, or in Rose's armory. If what we've seen of their strength from Jasper is any indication, warrior gems hit [I]hard[/I], with weapons that don't seem to be able to break from striking hard surfaces at full force, again as we've seen in the show. If the weapon isn't going to snap when it comes into contact with armor with that much force, it's probably going to go through the armor.