I was wondering that too, everyone knows about this scam dont they?
Presumably not everyone, otherwise there would be no point in their sending them out. Some people will suffer from extreme anxiety, some will have LDs, general low intelligence and/or lack thinking skills, some will be vulnerable, others will be elderly and not really au fait with online scams and others will be young, like that poor lad mentioned upthread and react like any frightened child to a scary situation.
As for 'if you haven't been doing it, that's a clear sign that it's fake', some people (like OP) will worry that they could easily fake incriminating 'evidence', even though they're completely innocent. Of course, many will not be innocent of what they're accused of.
If anything, this is a lot less obvious than the Nigerian ones where the head of the UN wants to transfer $86,000,000 to your personal bank account - but they still keep sending them out, so they must manage to claim some victims, otherwise why ever would they bother?
These people are absolutely despicable - they're clearly very smart, creative, persuasive and have good IT skills, so why on earth they couldn't just use all that to do something honest and positive in their lives/careers, instead of scamming vulnerable people who don't have those same privileges in life, I really don't know.