Ah, but they send and report it anonymously, mitigating the risk to themselves. And the popular conception is that once that content is on your devices, it doesn't really matter how or why it got there. You're effectively ruined. That may be inaccurate but it's still a popular idea.

And re: client devices, with a provider you don't control, you at least have the option not to download or access content you are not confident is safe. If you self-host, just accepting the message is storing the content on your device.