(First time posting in a long time, wow...)
I have to partially agree with TSO here, in that a total ban on digital distribution through sites like DLShop.com, or just running a Paypal link on your own site, is ludicrous, and exceptionally bad for doujin gamemakers in general - forcing physical distribution for all sold goods is not a good thing.
HOWEVER, I do see ZUN's logic when it comes to saying no to releasing on systems beyond the PC (Xbox Live Indie Games, the iOS platform, and Android's MARKET - note that, by my read, games for Android off of the official market may be OK - double-irony, this would also provide a way to handle physical distribution of Android games). Specifically, I kind of think it would be weird that unofficial games of a series become the only things available on that platform - and I suspect that's what he thinks. As his work has traditionally been only on PCs, he orients himself and wants the community to orient themselves to the PC. Which, as a PC fan, I actually like. (And, as the new comments pointed out, legal ownership issues are annoying.)
I also extend this to Steam, Impulse, and Direct2Drive - major, non-doujin-oriented (well, Steam's got a lot of works that would qualify as doujin by reasonable definitions, but it's not their primary focus) systems, for the same reason - at this point, major download stores qualify as full-on platforms.
That said, to block sales on doujin-oriented download services, or the selling of digital-only versions on a doujin gamemaker's own site, does come across as excessive and a bad move to me.
I will state I'm also someone of the POV that, given the scale that the series has attained, ZUN should honestly just bite the bullet and put up digital distribution of the games as a way of reducing ridiculously rampant piracy (due in part to piracy being the only way to get these games in some cases) - yes, being indie is awesome and all, but putting your older works up for $15 on Steam doesn't hurt your indie cred, by any means, in this day and age. (Plus, being able to say to Valve, "Oh hey, I need some quick money, any chance I could get my stuff on front-page by dropping it to $5 for a week?" never hurts. Just ask Introversion Software.)