I have almost never seen a Gunslinger Engy with anything but his mini sentries out.

N-Forza speaks the truth.
Using teleporters on CP maps is hard because spawn points are dictated by which points are held. On a standard map like Granary (A, B, C, D, E - points A and E are red/blue home spawns), a set of teleporters A -> B would become useless after C is captured because then the team would start spawning at B. A good theoretical teleporter strategy would involve 2 engis building teleporters A -> B and B -> C (the rapid capture rate of E would not warrant a teleporter imo), but alas that would never happen. Thus, in general CP maps see compositions of relatively mobile units, which is basically anything but heavies, non-Hunstman snipers, and non-Gunslinger engis.
Like Iryan, in payload and attack/defend, I usually care more about getting forward teleporters and dispensers to keep reinforcements fresh and fueled but use mini-sentries to provide minor defense and if necessary, store up emergency mini-crits.
And a little incident that happened yesterday but am still slightly miffed over:
(playing medic)
UBER IS READY
LET'S GO FUCK SOME SHIT, SOLDIER
(blowing stuff up)
OH YEAH
GET THAT SENTRY
(ubercharge disabled)
WAIT WHY DID YOU EQUIP THE EQUALIZER
(ubercharge finishes)
NOOOO
(sentry kills us both)
WHYYYYYYYYYY