I have seen safes of all types, including gun safes, broken into.
Safes are no different than anything else. They are a tool, and they make different tools that do different jobs. You need to determine your true needs, then buy the right tool to accomplish the task at hand.
If you're going to use the "it rarely happens, so I don't really need anything good" argument, then you might as well not buy anything at all. If your house never burns down, the guns are fine under the bed. If the burglar will never touch the safe at all, they'll be fine in a $99 Stack On Cabinet.
Airplanes rarely crash into the water, but they all have expensive floating seats. Cars rarely crash (as a percentage), but they all have highly tested materials used for their seat belts. People rarely have $1,000,000 doctor bills, but they still have insurance policies that will cover those figures. Gun owners rarely face a situation where we would need to use it, but many of us still carry concealed weapons. If you're not prepared for a worst case scenario, there's no sense in making preparations at all.
An E rate safe is essentially a non UL rated, steel plate safe, that would have a UL TL-15 rating if tested. Around here, that safe would be insurable for over $100,000 worth of contents. If you have $50,000 worth of guns, it may be something to consider. If you have $5,000 worth of guns, you'll spend more on the safe than your guns are worth. It's all relative.