I remember reading a discussion on that from MG. Now, don't quote me on this, since it was a while ago, but as far as I can remember MG is keenly aware of Erogegames existence. However, EG is operating form Ukraine, so outside of EU and USA jurisdictions. SO to get them, MG, would have to enter a legal battle in Ukraine, where the digital copyright laws are more... relaxed. So it would be a costly court case on foreign soil with no guarantee for a positive outcome for them. MG siimply doesn't have the money to throw around for that. Also, it could create a bad precedent, should they lose. And they can't do much about the download service either, since as far as I remember downloadani.me is run by the same guy who runs EG and is also operated from outside of the EU and USA jurisdictions. So they let EG get away with their referral, because that way at least some people might use them to buy the games after / instead of downloading it, somewhat mitigating their losses.
Again, it's been a while since I looked up all this, so I might remember some details poorly, so don't quote me on this.