There are lots of non-technical users who don't know about saving files (seriously!). Removing the original link would cut off some people from access to the file. It's like computer security. You can never be "100% secure", instead you start taking steps that each will reduce your exposure.

Not only that, there are potentially legal differences between publishing a link to an embarassing photo and actually sending the photo itself. After all, it's common on this site to draw the distinction between linking to content and the content itself.