That is interesting. We traveled by minibus throughout our trip, so traveled through rural areas, and only in Afar encountered lots of men with guns (one group of whom wanted to hang out, and shared their Khat [a stimulant plant]). Even with lots of men with guns, I never felt threatened (nor was a threat ever made nor implied).
The people we met in Tigray were amazing. The folks we encountered there were probably not affiliated with militias. I imagine (possibly wrongly) that militia members would make up a small fraction of the population? And that an ethnic militia would probably be more likely to contain folks who subscribe to ethnic hatreds etc. than the general population. Similar to white supremacist militias in the US-- they exist, but they are a marginal group who's viewpoint does not represent the majority of society (even among ethnic groups identifying as "white").
I've met people like you describe, just not in Ethiopia. I'm glad my path somehow avoided that. My memories of Ethiopia are 100% good/happy ones.
Per wikivoyage, the guards in Afar are guards. The wikivoyage article attributes the attacks on tourists to Afari rebels in the talk section, but not in the main text (I remember reading in a travel wiki that the attackers were Eritrean; but that could have been un-sourced BS). There are no references listed for any claims made in wikivoyage about the attacks.
Refusing guards and getting shot sounds like it supports it being a mafia protection racket, but rephrased, "the people shot were tagging along a bit behind, but not within the group ahead with the guard," just makes them sound more vulnerable to attack. Both descriptions are consistent with what you described. Seems like attacks would be greater in number, and more frequent than two attacks, 5 years apart (2012 and 2017), if it were a protection racket. Perhaps the wikivoyage list of tourist attacks is incomplete, but if attacks were common, it seems there would be more than two in over 10 years recorded.
https://en.wikivoyage.org/wiki/Danakil_Depression