That's especially aggravating because the IRS can audit your return going back 3 years. And you're right, it's a trivial amount of data to store.
I had a lot of trouble with Paypal because it kept insisting that the transaction data I requested was "too large" for it to handle. It was about 40k of data, less than the web page it served telling me that.
Oh, they store it, you just have to pay extra for a complete record. In a more perfect world, this is because it takes effort to retrieve your history from offline storage.
The $99 drive sitting on my desk could store the complete records of BofA going back to the beginning twice over (without compression).
I just don't get it.