Unless there is something new on the market that I'm not aware of, no surge suppressor, or any similar device, can protect your gear from lightning. It comes in through the ground and is very different than a power surge.
However, most companies advertise that their gear protects against lightning. They're not lying, but you do have to read the fine print. Like you said in your post, its pretty rare to have a direct strike, But its not that rare. It does happen occasionally. As you can imagine, a company that makes power products really wants to advertise that their products have lightning protection. If you read your owners manual, lightning protection works like an insurance policy. You send them whatever information they request, they file it, and if you have a claim, they go by whatever info you sent them.
These companies know full well that 99 out of 100 customers are not going to go through this process. But its there, so they can claim lightning protection. So, yes. Always unplug everything. Even if you have a surge protector, you really don't want a big surge to run through it. A claims process is never enjoyable.
