My guess is that's just the way of being frank and earnest with the community - "I don't know if this key works, so, to save you some frustration, I made some warning. If the key works - fine, enjoy your game. If not - no one gets bad mark".
If the winner marks giveaway as "not received", I would be the bad guy, who made the giveaway, but didn't send the key. And that is not true, but still I would get the mark of untrustworthy person. I wouldn't want that.
The thing is, Humblebundle sometimes add to their "choise" some region locked keyes, but they "forget" to mention it in the description. So, they are to blame in the first place, but all the blame would go to me because there is no way of telling why the winner did't get his or her game.