http://www.kpho.com/story/22102426/police-reverse-sting-operations-under-scrutiny-by-az-supreme-court
Also, I know in the state of Maryland and I think Virginia as well, the cops will not sell real drugs. Because buying fake drugs with the intent to distribute as if they were real is illegal, they do this instead.
Finally, trying to sell drugs through an anonymous market would be pointless, as they can't prove that it was the recipient of the package who placed the order. Plus, it seems counterintuitive to distribute drugs to stop distributors...
The risk is likely low but it isn't zero. Receiving the drugs would likely be sufficient evidence to get a search warrant for home and computers. How many drug users have 0 (as in passes a CSI inspection) evidence of drug use in their home. Home many bitcoin users are so perfect in their security that no evidence of bitcoin transactions can be found. If you graphed these two populations how often would they intersect.
Most people are "safe" because Police are more interested in major dealers not end users and such stings would be expensive and manpower intensive for little gain. However potential users shouldn't confuse Police "not" doing something with an "inability" to do something.
Receiving the drugs is not sufficient evidence to search the home. I used to have a friend that got packages of a certain herb (not from SR or Atlantis) and one day, due to poor handling of the package at the post office, the contents were revealed and he was brought in for questioning. He simply denied everything. Mind you, he doesn't keep everything out in the open anyways, but I doubt most users of SR are morons who leave stuff all over the place. You don't have to believe me, but a simple google search will show many people in the same situation.
Because the police have no proof that it was you, they have no way of acquiring a warrant. Even if they did somehow get a warrant, and went straight to the computer (which they would need a specific warrant to do so), you have a strong case against them. You could easily say that the police ordered a package of drugs to your house and then raided it. Unless they can prove that it was you that ordered it (impossible because of Tor), there is no way that they can get you for anything. Imagine how ridiculous it would look to a judge or jury when the police try to arrest you for drugs that they shipped without your (supposed) knowledge.
I do agree with your second paragraph- it is stupid to think that just because they haven't doesn't mean that they won't. However, seeing as there is only one confirmed report of someone being arrested because of SR related activities I think that it is very hard to get someone for this kind of thing.