I think many people are irrationally overconfident. So they think they can pick the one hedgie out of many who actually has alpha, even though they may understand (at the rational level) that most do not. It doesn't help that the hedgies are very good at portraying themselves as having special magic.
Why do admissions people at elite schools think they can predict college performance better than a simple linear combination of SAT + HSGPA? (When in fact the opposite is true.)Why do economists think they can understand/predict the economy when empirically it is clear they cannot?
My son thought he had a way of rolling dice that increases the probability of his desired outcome. I got him to look at the statistics but he's only six, after all ;-)