The people stealing an identity are not the ones buying lists etc. They do not do things in a legitimate manner. It's the person behind the counter or on the phone making eight bucks an hour you hand your card to or read it over the phone. Or the person hacking into computer systems, swiping your mail, running a scanner over your pocket while in line behind you and things like that. I can understand having that happen could make a person jumpy but those people are not going to bother with purchasing a list from a legitimate business. They can get the plenty of names and addresses out of a phone book it that is what they want and it doesn't leave something to trace.
You will find that things you think are legal are not. Check things out on this web site.
Federal Trade Commission