One unintended benefit of having cheaters' games stand is that it combats rating inflation (a problem prevalent on online chess sites). When the cheater is kicked off the site, his points can never be returned, and therefore they have left the system entirely.
In a way this makes up for the provisionally ranked players who never complete their 20 games, and the people that, upon leaving the site, allow all their games to time out (in both cases contributing points to the system while not being counted in the rankings).
While its infuriating to lose to a person whom you find later is a cheater, it may be good for the site as a whole that the points are not returned.