I kind of agree with you on this. Being a guild and one that seems to like payment for their services too, why would they burn down King's Landing? Also a few of the wisdoms were given a lot of gold for their services and when Jaimie caught one wisdom he tried to bribe him and got killed anyways, but it showed that they wanted money. Also being an ancient guild and all of that, King's Landing is fairly new city and I feel like the Pyromancers moved in when the city got bigger. Where were they before this fairly new city. Where are their other ancient guildhalls or factories for that matter? Supposedly they were in Oldtown, but nothing of them are left down there either. I have found them interesting, but there is very little information on them.