I agree that the concept of "cheating" is a CW concept along with CW "diets." Who exactly is one cheating on? One's self? That's akin to cheating in solitaire - something else I've never understood.
But if you're asking why people occasionally have a non-primal treat? Because it tastes good. Also, there are some people who have an all or nothing approach to things that might give rise to the cheating/guilt idea. I haven't had pizza since last June or July, so we're coming on almost a year now. I don't miss it which honestly surprises the hell out of me. But if a group got together and wanted to go out for pizza, I wouldn't stop myself from going just for that. And I wouldn't consider it cheating - just a meal that I ate that wasn't optimal for my health.
Once you get to a place where your kitchen is primal and you cook/prepare almost all of your meals, you're there imo - as far as the eating part of primal. An occasional non-primal treat (with some rare exceptions) isn't a big deal.
"Right is right, even if no one is doing it; wrong is wrong, even if everyone is doing it." - St. Augustine