If you read the fine print on those whole-house units, they still let 300-600volts through, which is a LOT lower than SAY kilo-volts/mega-volts.
It will absorb SOME amount of juice, but it still (LIKELY) might not be enough...
They are basically just bigger/more-robust versions of the power strips you use, nothing more. (Same components: MOVS)
They DON'T block continuous-overvoltages, like that found in an E3 wave of an EMP or a Carrington event. (Neither does the EMPShield products I might add.)
An entry-level to mid-grade UPS will block SOME of the continuous overvoltages, again if you read the fine print it will still let through about 140-170volts (if it even says at-all...)
Normal metallic HDMI doesn't help AT ALL, it can pass THOUSANDS of watts briefly before melting, WAY more than the chips can handle on both sides of the cable. Optical blocks just as much voltage (or more) than the smaller glass insulators holding up big power lines.
A lot of places like NORAD have gone all-optical, or mostly-optical. That is not by accident.
It's about layers of protection...
Every metallic cable adds great risk.
But doing nothing at all, is a guaranteed way of protecting nothing.
But for-sure, if you live in a lightning-prone area and if you have a bit of money to burn, you can implement a grounding grid all around your house. That's just another layer of protection. (It's all gonna do something, maybe...
It's not uncommon for lightning to hit the edge of a house and flow down the water drainage systems as they are tin and (nearly) a direct-ground path, often blowing off the side of the house where it hits on its way.
Also solar panel systems or any roof heat-capture piping, that's our reward for trying to be green!
The power of lightning is simply unstoppable. You either get lucky and the layers "do something" (or not...