A better question would be, why is it when you go into a shop certain things you can take without a problem whereas other items are labelled 'Steal'?
I think it has something to do with their value. Before you help out the shopowner, everything is marked "steal", once you've done a small task, quest or whatever for them, items with a value below ~30g or so, suddenly becomes free to take.
There are simply too many items in the world just free for the taking, it makes being a thief kinda pointless.
The best way to make septims in Oblivion was to just fast travel to all the major farms near the cities, I think there were about 5 or 6 farms, and just take all the crops there, then make some potions and sell those for a huge profit, all without stealing a single thing. It felt soo wrong