I think it's annoying too, if you think someone is lurking that you wanted to connect with. If you want to feel safe, just don't enter sensitive information in you're profile. But I think some of the people who do it are people who post alot and are 'famous' on the LDW board and don't want just everyone PMing them just 'cause they see them online.
But whatever they're reasons, I'm sure it's important to them or they wouldn't do it.

Marcey