...good points, Joshua.
The advantage of the weight savings is far greater than the disadvantage of losing some aerodynamic properties as the result of removing an 04-07 STi spoiler on a car that is daily driven - even at highway speeds. Many simply do it for aesthetic appeal, but the weight savings is usually the biggest reason.
But, in a way, max3, that's true. If you drive at extreme speeds, the aerodynamic properties of the STi spoiler will help stabilize the car and it is slightly more dangerous to drive that fast without it. The horizontal part keeps the rear end planted to the ground and the vertical supports help keep the car going straight.