Security is not just about not getting hurt, it's also about probability of being hurt, and leverage to bring the bad guys to justice. Theoretically, anyone can get shot at a grocery store, but that doesn't mean we're all living in dangerous places, does it? Other anti-viruses operate from cooperative countries, that don't have a reason to attack, and are reachable in case they do.

Everybody understands that if tomorrow Putin walks into Kaspersky's office, hands a thumb drive and says "make your antivirus run this", Kaspersky won't be able to say no. There were talks internally (I worked there) about open-sourcing but they quickly concluded it will change nothing trust-wise. Kaspersky is not being pushed around because of proof they did something, but from the fear of what they may do.