UK and Germany did develop a number of armed merchant vessels. In UK’s case it was to counter U-boats. For Germany it was a long range threat to Allied shipping. Most Transports were not armed and relied on Destroyer escorts.
Transports faced another real problem which was speed. In naval combat warships increase speed to help defend against getting hit ( making it harder to track a fast moving ship). Transports move at least 50% slower even at their top speed. So in naval combat, you would never bring them because they are pretty much defenseless and slow vessels. If for whatever reason the navy decided that it needed them, the requirements of combat would quickly separate the fleet into two groups and the enemy would never concentrate fire against anything except the engaged warships. In few cases, ( Letye comes to mind) was the purpose to destroy transports with any priority.
http://en.wikipedia.org/wiki/Q-ship