Many aren't, but everyone has reason to.
Governments change. Telling your government your religion in 1920s Germany was harmless, in 1940 many would have preferred if the government didn't have their religion on file.
Circumstances change to. In 1920 being a Japanese in the US wasn't special. After Perl Harbor came the internment camps.
And then there's the mundane stuff. You protest a government policy, someone in the government takes issue and tries to put some of these annoying people in jail.
Given that you don't know when you might become an enemy of the state it's always a good idea to keep the power of the state over its citizens in check.