'Out of the box' this is correct. But.....
They can and do work on crt's if you use a device to halves the syncs of your vga signal. So you have a VGA signal going to the PC monitor as normal, but you take the syncs, process them, and feed them to the guns.
On the guncon2 forum I belive there is a circuit posted which you can build with cheap components that will do this. People have done this and reported success.
If you happen to own a Jpac, this already has a chip that does this exact process so you can use the output of that instead (although if you have a jpac you probably have an arcade monitor anyway).
I'm currently doing exactly the same myself, just need time to solder on connectors and I should be there.