I’m going to be pretentious and say that I think it’s because modern capitalism makes people create and cultivate their identities based upon consumption. People also tend to think that being a good artist and being moral are the same thing, and we also tend to think of art as an extension of the artist. This means that if you consume a piece of art by David Bowie or Radiohead or whatever, you are metaphysically assimilating the artist, and that also makes you immoral by extension.