> Why would one expect to be able to interact with the world without any consequences ?
Because you're not free if you can't do that.
> Even hosting via Tor can have consequences, if the government has enough incentive.
Then you can chain Tor with other anonymity networks. Such as nested VPN chains, Orchid, or LokiNet.
Based on what I've seen, people have generally been pwned because they screwed up, and not through fundamental compromises.