Well, in some countries authorities are checking on who downloads from pirate sites, recording IP addresses, etc. To be really anonymous requires technical knowhow -- finding and using proxy servers is not easier than executing simple python scripts!
That doesn't mean that I don't agree with you. They should do away with DRM (or at least have only one universal DRM) and offer more books in digital form. But downloading illegal copies is not without danger for the user, and my guess is laws will be passed to force internet providers to give out user names in such cases.
And if you are a Kindle user they know where you are at all times, anyway!
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