My attitude toward safes is a bit different than others, but I think it bears consideration.
Look at your risks. My highest risk by far is forest fire, so for my Fire performence is much more important than anything else. Being able to build it into say a closet is secondary,
Other peoples highest risk may be burglary, there, IMHO, you look for a hideable, or something that can be built in and worry about fire, but it will not be your highest priority. If you haven't noticed, I do not trust safe locks to keep skilled thieves out more than a couple minutes. Thieves cannot defete the lock of a safe they cannot find.
Next, it may be your "gun" safe, but in the end it is a "valuables" safe. When you size your safe take into consideration all the valuables you may want to protect from fire or theft. There is no reason your wife's aunts fancy jewery that she inheited cannot go in Your gun safe...