So there is absolutely no need to bloat the UTXO set when you can use OP_RETURN outputs instead.
Right. So they ought to enforce that behavior but the problem is they don't know how. Because how do you tell the difference between someone storing data and someone storing bitcoin?
It's really very simple. Download Bitcoin Core, create a new wallet, and either generate new addresses, import private keys or addresses which contain your coins, or both. Then start syncing the blockchain with pruning enabled. Whenever it finds a transaction related to one of your addresses, it will store that transaction even after it prunes the rest of the block that transaction was included in. The end result will be a synced node with the last x GB of blocks stored (x being whatever you set it to), but with every transaction related to one of your addresses also stored. You can't look up other people's transactions, but you can look up all the ones related to your addresses.
Assuming it works that way for any address type I might throw at it then great. As you point out, it does have its limitations in the sense that you can't look up other peoples' transactions so if you needed to do that then you have to trust a 3rd party. Seems like alot to give up just to save some disc space. But I guess to each their own...