I think these are separate issues. The relay policy matters because it determines what your own device is storing and transmitting. A consensus change would address that too, but seems unnecessary since we don't currently have a problem with illegal material getting mined, despite it being consensus valid.

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The issues are a bit different, I agree. But if you believe that arbitrary data is a threat to Bitcoin, removing its possibility via a consensus rule change seems only logical. Even moreso because a mined transaction would have to be stored permanently by every full node.
I can't speak for everyone with this concern, but it doesn't strike me as all-or-nothing. Changing the relay policy potentially has concerning impacts on the bitcoin network regardless of whether it changes what makes it into blocks.