Here's a list of reasons why Digital Distribution is bad.
I don't work for Shrapnel Games, so I'm making all sorts of assumptions.
1) If you want the manual shipped to you after you download the game, it becomes more expensive than just shipping the game and manual, because no costs are saved on production, and bandwidth costs are added (and bandwidth is not cheap.)
2) If you don't want the manual shipped to you, then there will be a sizable amount of players that will play the game without a manual. These might enjoy the game less, since they will have a weaker understanding of it, and they will give the game a bad name.
3) Furthermore, there will now be an excuse for not having a manual, so all the pirates that "lost their copy" won't be immediately spotted on the forums
4) Without a physical manual, the CDKEY is just a number transmitted to you once, with no backups. Suddenly Shrapnel has to deal will all sorts of people that lost their CDKEYS and ask for new ones (expecting one since Shrapnel has to track their sales on their website) and potentially leading to all sorts of CDKEY scammers.
5) They will have to modify their entire CDKEY tracking model. They are no longer guaranteed that each copy of the manual corresponds to one CDKEY, that is printed on it.
They will have to either modify their production line to produce CDKEY free manual but store CDKEYS in some sort of other database or find some model where they print your manual with the code, and send the code to you before the manual is shipped (which creates problems for backorders.).
6) There are probably some costs involved in uploading the game to the digital distribution service, plus increased maintenance.
Some of these reasons are probably wrong.
Reason 5 is poorly explained.
There are probably more reasons that I can't think about.
Either way, if you really must play Dominions III now, just play the demo until the game arrives.