Races have different ways of dealing with a threat.
Some races simply moved somewhere else or buried the gate and gave up using it.
Earth humans could not do that. They were actively fighting the Goa'uld so they thought of something else: the iris.
(and burying the gate would of course mean the show was over)
The Tok'ra were also actively fighting the Goa'uld, but they moved around and did not live on a planet with a population of billions, so for them it was not an option.
Other races were not advanced enough to make an iris, did not think of it or did not bother because they did not feel threatened (the Tollan for example)
Besides, making an iris is not easy. It was installed at 3 microns from the gate's event horizon. It (probably) also requires a strong material. The first iris made of titanium was destroyed very early on. Only the second, made of a trinium alloy, held. (source: stargate wiki) (It was a black hole that destroyed the first iris, so I can't be sure on this)
The stargate did not originally have an iris, because there was no threat. When the Ancients in the Pegasus galaxy were threatened by the Wraith, they thought of the same thing and created a barrier on the gate.
According to the stargate wiki, there could have been other gates with a shield: stargate wiki: Stargate shield