Isn't that the point of the Nigerian scams - the money is always illegal (some corrupt politician / foreign aid money) that needs to be got out of the country - so you feel you are "in" on the real scam?
It also discourages you from reporting it once you have sent off any money.
Honestly, I havent' gotten one in a while. I do recall some that seemed very legit (no implication that victim would be in on fraud). It was inheritance, and there were banking regulations that to be worked around, etc. Adding a taste of fraud seems like smart choice for the attacker.
From what I've read of the succesfull ones - as the victim sends more money more details of who was/has to be bribed, how the money was obtained, how the bank regs are broken are revealed.
Ultimately it becomes a carrot/stick - if you send more money you will get closer to the pay out BUT if you don't send more money we will reveal your role to the police/banks in your country.
It also discourages you from reporting it once you have sent off any money.