I totally agree - so are there market segments where these problems are less severe? For example, in Germany you get 5000 LH miles vouchers for certain magazine subscriptions and I don't think there is anything illegal about trading them - looking at their prices at ebay might be more informative.
Another problem with looking at ebay&Co. are transaction costs - they are ridiculously high (think of collecting 100 miles snippets from kellogs, sending them in and what not). This would suggest that auction prices are lower than real value. Interestingly, some people seem to actually enjoy collecting stickers and running to the mailbox to send them off - otherwise I have no way to explain why they do it (especially given the opportunity to get 15k free miles with credit cards etc.).