f41d2~gun leaves you much closer than f4~gun or f41~gun on block. In some matchups you can abuse the added distance from f4~gun. Like say Quan Chi. If Quan blocks f41d2~gun and then pokes out d3, he'll beat basically all of your unarmored followup attacks. Meaning your best option is to just block and let him do what he wants with his plus frames or back off in some way or throw out risky armor.
If Quan blocks f4~gun and then pokes out d3, he's outside of his d3 range, meaning any button you press, like say f4, will effectively counter poke him, netting you a combo. What this means is Quan's options after a blocked f4~gun are more limited than his options after f41d2~gun.
That's just one example of how this could be applied. There are numerous others.