Question: "I could, however, see it being useful if you have a set shipping charge inside the actual price of your product and don't need to calculate tax or shipping before they reach the PayPal/Google Checkout page."
Answer: Exactly.
Question: "Why gather shipping info for digital items..."
Answer: Many. many, many reasons and potential needs for this. Just a small few are police and FBI reports, sales tracking, geographic mapping, cross-checking of customers, tracking of fraudulent buyers, etc, etc, so many more...
Question: "If it is digital delivery and you don't ship anything, collecting the shipping address will not protect you."
Answer: Incorrect.