Well here in my area, the average deposit for a keg is $50.00. Your not returning the keg and letting the store keep the $50.00 doesn't cover the cost of the keg. Think about it. The liquor store keeps the deposit, as far as I know, they don't own the keg you rent and the brewery loses a keg. So, while I didn't care about this a couple years ago when I started brewing, I do have a couple Budweiser kegs in my employ, I won't lie, I'm trying to do things the right way.
You do raise a good point though, it's technically not stealing, you did pay for the keg, just not what it's worth and may be more morally wrong than illegal. I think they should start charging more for deposits so people will keep up with their receipt and be more inclined to return the keg. Of course, how many people have had an auto accident and not used the insurance money to repair their cars?? That's illegal as well, but it happens everyday.