I found this on the Wii too, and it annoys the hell out of me.
And the Wii doesn't even have any 'achievement' system or anything like that.
Now, most games will let you copy the saves, but at least two games I know of will not. (nights :journey of dreams, and Super Smash brothers)
What seems to be the destinction? Well, both games have some sections to them that have fairly extensive customisation. (Brawl has custom level designs.)
But, more crucially, I suspect it's online features. (Yes. Wii. Online. I know, that sounds weird.)
Nights actually has an online leaderboard. (And it probably shows how obscure that game is that I'm something like 30th on one of the levels, and was even 8th for a while...)
As for brawl... I don't know, but it has online functions, custom content, and a huge amount of unlocks.
But whatever the reason, it's still really annoying. Especially since it means I can't backup my saves. At all. Grr.