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Because some people like them? Just a guess.
Some users, myself included, get great battery life even with live wallpapers.
Also note that not all live wallpapers are the same in terms of battery usage. Ive noticed some drastic differences between LWPs when shopping around, in terms of battery usage.
Its possible your prefered LWPs are resource hogs?
and plus everyone that has a epic knows why it doesn't have all that good of battery life right? 
The only way LWP will reduce battery life by any significant amount is if you sit there and stare at it. If your phone's screen is off or you're running a program, you won't see it, hence it won't be killing your battery.
I use LWp and as i post this, my phone has been unplugged for 1d 11h and my battery is at 75%.
Extended battery + a ROM? Or do you just never use your phone lol? That is a lot of juice!

I like the look of Live Wallpapers, but with sketchy battery life already on the Epic, why do people bother with them at all?