Because the service academies adhere to an honor code. Cadets and Midshipmen do not lie, cheat , or steal, or tolerate those that do. Controversial as this may be, Mids and Cadets know the rules, and know very well the consequences of violations. If they can not live by the rules honorably in this situation, they can not be entrusted with the lives of troops or national assets in positions of higher responsibility. Sorry for them, but the institution is a stake and it is worth far more than the education of a few students with no more to do with the taxpayers money than download music.
USNA84
Damned good question.
Two reasons: (a) the midshipmen at Annapolis are subject to the Honor Code, and (b) the Naval Academy computer network is heavily monitored for intrusion and internal misuse, which means that the downloads can be tied to specific midshipmen.