If they allowed that, almost all sellers would do it for security, and then there would be no ways for buyers to get any feedback.
In fact, when I was placing my first bids on eBay, some buyers would cancel the auction or retract the bids because they didn't trust me. I understand their position, but how are you supposed to get feedback if sellers won't sell you anything?
Right, which is why they should only allow non-professional/low-volume sellers to make this restriction, that way new users can still buy from pro sellers to get some reputation, or people selling in odd-ball domains where such a restriction overly harm the seller.
If you sell, say, more than 500 items a year, you turn into a professional seller and you can't be as restrictive, but you are doing enough business for the occasional scammer to not make a large impact.
Of course, I think eBay is harmed relatively little by scammers like the one in the OP; so I can see why they haven't done much to prevent it at risk of loosing real business.
In fact, when I was placing my first bids on eBay, some buyers would cancel the auction or retract the bids because they didn't trust me. I understand their position, but how are you supposed to get feedback if sellers won't sell you anything?