They hate game collectors and like to watch us squirm. They have the goods, they've got the high price tags, and it's going right on what you love so much.
Sometimes it might be an anti-fraud measure. To prevent you from pulling a sticker off inconspicuously, and then bringing it to them and saying you want to trade it in, or switching the tag with something else, or causing them to price something incorrectly in your favor.