Why do so many games for PS3 have 'restricted/locked' save-games?

Games which have copy protection often have player-unique features that prevent them from being usable by other users it could be online progress/stats (the case for Demon's Souls) and I believe sometimes it's because some saves include DLC data that might be problematic when transferred between users who don't own it (I believe that's the reason for Dragon Age's saves being copy protected).

Personally I think a solution where a save is transferable but only usable by the original PSN ID is the best, however I think Sony's afraid users would modify those saves and copy them back, if you look at Borderlands, for example, where the saves aren't copy protected, item hacking and duping is abundant.

I agree with you on the comfort issue, I myself lost a few copy protected saves lately because a backup went wrong and I only had backups of my non-protected saves I copied before.