While the vast majority aren't obtained through legal means, a surprisingly large percentage can be connected to the individual who committed a crime with one.
According to the BJS, of those in prison in 2016 who had a firearm during the offense they were in for, 7.5% purchased it legally under their own name and 25.3% obtained it from family or friends. An older 2004 Survey of Inmates of State Correctional Facilities showed 12% obtaining them from retail and 41% from family/friends.
Criminals don't file down serial numbers not because there's no reason, but criminals don't think they'll be caught. Most simply don't think very far ahead.
Micro-stamping isn't perfect, but again, it is better. If it can lead to arrests in even a small percentage of the thousands of unsolved murders ever year, it would be a huge win with little downside.