Probably has something to do with the level of challenge involved with the unlockables.
Hal Labs and Nintendo want people to EARN their unlockables, especially now that those items are reflected in an online multiplayer environment.
This isn't the first time a game with hundreds of unlockable characters, pictures, songs, etc. has copy-protection on the save file.
One example that comes to mind - all three of the TimeSplitters games block memory card save-transfer or copy, and all of those games have a wicked-large list of skill-based unlockables.