Blockchain.info and other products make you read dire (but vague) warnings that "you must be an expert" before you can import private keys. What's that all about?
Importing a private key can lead to non-intuitive behaviour, and that can be exploited by an attacker.
Imagine I'm evil. I give you a paper wallet with 1 mBTC on it. You're happy and import it. I keep the private key and wait. Depending on the client/user, maybe someday you'll put some real money on there as change/received funds. Then I can swipe them right off from you. If you don't bother moving the original money off the key, I can also steal that back.
If not, then at the very least I can trick you next time into thinking you were paid by sending funds to that address. Then I can steal them right back.
Importing also tends to break backups, especially deterministic key schemes. Armory gives you one line of text for all your keys, and then 1 line per imported key. Every time you import, you'll need to redo all your backups.
Because most users don't understand these implications, wallets tend to discourage importing, and instead offer sweeping (moving the funds to an address that was generated by the wallet itself). Supports 90% of the use cases with none of the issues.
because exposing your private keys on your computer will expose them to all the viruses and keyloggers on your computer that non-experts tend to have.
thats one reason