Given that I have received downvotes I'll try more concrete example. Imagine that you start dating a someone and they discover your email, maybe you email them. Now they then take that information and try and log into a site that you do not wish that others know you use, this may be a porn site, it may be a group that you associate yourself with, say even a feminist forum. Now if you respond that it's the wrong password people are able to deduce (given that there is also a wrong username error) that you are a user of that service.
Imagine you put your email on your cv and this is done to see if you a member of a democrat or republican website, and you are not offered a job based on your political views.
Imagine that you use your email to sign up for a government service and they take that email, do as described above, and use the information in the future to discredit you in some way.
Maybe I have missed the point, but I personally think that this is a also privacy issue and only looking at it from the perspective of UX may have undesired consequences for people.