Currently the upside to directly delivery is small; there just aren't that many people who have the hardware, bandwidth, and inclination to buy shows online. Certainly nothing like the 28 million subscribers they currently have.
There is no serious incentive for them to be a pioneer in this. Amazon, Apple, and Netflix are doing a fine job of figuring out what a la carte TV show delivery will eventually mean. When the market is big enough to make it worth getting in a fight with the cable monopolies, I'm sure HBO will do it. But for now, they can let other people take the risk.
edit: I don't necessarily believe in this as a sound way of doing business, but I understand why they'd think this way.
Regardless, premium content like HBO is different than broadcast television. The cable companies never had US exclusives to Saturday Night Live. But they do for Game of Thrones, and I doubt they'll give that up willingly. Remember: they're monopolists, and to a monopolist there's no such thing as fair competition.
Even their DVD sales of Game of Thrones occur until 1 month right before the 2nd tv season begins. All the more to goose interest in the show and channel subscription....
Netflix alone had over 23 million streaming subscribers at the end of Q4. I'd say your instincts as to the market potential are quite underwhelming.
To me, that says that HBO would be idiots to fuck up their current cable relationships in hopes of building their own direct-distribution product. For now they can happily continue to sell the downloadable content to Amazon at the same time they release the DVDs.
The problem for both is/was the jump from middleman-controlled to direct-to-customer involves a huge backlash in the process. The middleman will have to follow thru on the threat to drop distribution completely, at a time that direct customer contact is growing but still inadequate to make up that loss. Cutting out the middleman means a big hole that takes time to fill; it's killing the cash cow then waiting for the calf to mature.