Absolutely they should.
What you (and everyone else) may not realize is that these are scams.
It only takes one person to complain to Microsoft, even if that person purchased a key just to complain.
Microsoft can determine which MSDN account was used to generate the key, and they can then disable all the keys generated on that account. Also, once the MSDN subscription (stolen/hacked) expires, all the keys generated from that account will be disabled automatically. Do you think the thief will renew the expensive MSDN subscription?
The person that sold you the key will NOT give you a refund. You have paid money for something useless - you have been scammed. The person selling you the account probably bought/hacked the MSDN account so they are not out any money - just you.
They never blacklist any key, heck they even are giving out Windows 10 to every pirate in China. What do you think? You are confusing a scam and a grey area activity. please consider it.