Because an all digital future a) isn't plausible right now and b) is a bad thing.
A is because even in the US most people have either no internet at all, or piss poor internet service that can't support an all digital future. It wasn't that long ago that the PSPGo flopped flat on its face after all.
B isn't because all digital is actually bad in and of itself, it's bad because corporations are bad and user/consumer rights are treated as absolute garbage most of the time. For example, if Microsoft ends up deciding that they want to shut down the servers for The One and call it good and cut everyone off from all of the games on their consoles, they can get away with it, they have the money, the power, and the influence to get away with it. People may try to fight it, but the people won't win. This leads to a problem both involving consumer rights as well as a problem for people who care about the history of video games. Imagine having a console (not even necessarily The One, but just *a* console *sometime*) that has an entire catalog of games that is completely inaccessible because of an all digital future.
Digital broadcasting isn't the same as all digital games either. Consider that with DVRs and other recording devices not only can we record live television, save it as files on our computers, or burn them onto discs, television shows are also (mostly) put out in disc form for people to be able to buy and collect and watch any time they want to. TV as a medium could completely crash and burn and die in a fire but if you have those discs with t.v. shows on them, you can watch them still so long as you have a television and something to play the disc itself on.
Now, that's not to say that Microsoft will be the one to shiv consumers in a dark alley and run away with their money, but it's also not a scenario that should be complete ignored because "oh it probably won't happen."
On top of all of that, you have to consider that right now we, as consumers, are used to the idea that if I want to buy a game, say, three years after its release, there's relatively few scenarios where I'm paying full price for that good anymore. However, without brick and mortar stores (which is actually something to fall in under category B) who have to lower prices to move stock that's eating up shelf space and thus costing them money, there's considerably less incentive to ever drop the price of a game. Imagine an all digital future where six years after release Titanfall is available for download for 50$! Again, it's not to say that that is going to happen (Steam and GOG help with that to some extent since they do run incredibly good sales due to their natures of 'expose people to the service so they keep coming back for more even after the sales have ended.') but it's entirely possible it could happen. There are still some games on the 360 marketplace after all that I think run 40$ despite being able to buy them new from retailers for a fraction of that price.
Diverging for a moment, you also have the problem of brick and mortar stores. Now if we went to an all digital future for games at the end of this year (say for both PS4 and The One) brick and mortar stores would be fucked and cut completely out of the picture. Not only does that do considerable harm to them as businesses, but it does harm to game sales over all because of the fact that we haven't naturally reached an all digital society. People are still used to going out to stores and buying games there, to being exposed to games no other way than by in a retail store. As people who are fans of gaming and who go out of their way to frequent video game websites, I think it's easy to forget that there are a lot of people out there who don't come to places like this to learn about video games, there are a lot of people who just pick up random crap off of the shelf, think it looks cool, and buy it. Those sales would have to come from people going out of their way to browse the stores within the respective console services (XBMarketplace and PSNStore) which I don't think is as likely to happen because those are services you have to go out of your way to use (as opposed to a retail store where you could browse the games section just because you were in the store already to buy something else.)
Then you get to the problem of trading and sharing video games. I believe somewhere in the all digital future we should reach a point where games are able to be shared and even traded. As it stands now though, those aren't established norms for digital content. But I borrow and share games with my friends all the time, from old games to recently released ones. It lets my friends or I say "hey, this game is pretty cool, you should check it out." and he hands me the disc and I get to play it - no jumping through hoops of having to register as family members or anything, just, I get it and I get to play it. I can't speak to how common of an occurrence that is, but, it's apparently something that a large number of people feel strongly about having the right to be able to do. If digital games aren't willing to understand that and go that extra mile to make it happen (which obviously has problems and concerns all its own that would still have to be addressed so as to help prevent game sales from downright tanking due to people openly sharing games with whoever they want whenever they want as often as they want through online means and all that jazz) then consumers by all means have every right to fight for what it is that they want the freedom and ability to do with the video games that they buy.
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