If you can confirm your vote, you can prove how you voter to others. This makes room for buying and extorting votes! I can imagine some employers requiring you to prove you voted correctly to keep your job.
Or union bosses. Or the local political-organizing group slipping you some money in exchange for voting a certain way. Or even an unorganized gang of thugs trying to intimidate you (think a group of rednecks who suspect you might have voted Democratic, or a group of Berkeley hippies who suspect you might have voted for Prop 8).
But I disagree with your first sentence. It's certainly true about the scheme proposed by GP, but contrary to intuition, there are ways to confirm your vote without being able to prove how you voted to others.
Such voting systems typically use a "cut-and-choose" method in which your vote is split into two or more pieces, any one of which is useless for determining how someone voted, yet together create the full vote. The voter takes a copy of one of the pieces as a receipt and can verify that the piece was counted correctly. So if there are two pieces overall, someone trying to tamper with the votes would have a 50% chance of being caught for each vote tampered with, which quickly becomes negligible for any significant number of votes. Yet the voter can show the piece to others, and it doesn't give any information about how they voted.
Here (PDF) is one method for doing this, by David Chaum.
Here (PDF) is another (without cryptography!), by Ron Rivest.
The issues with these new systems seem to be usability, inertia, and public trust. Usability: Voting should be extremely simple for the voter. If Great-Grandma can't do it, it's not going to be our voting system.
Inertia: Current election systems seem to be "good enough" for most people; despite some agitated geeks and the occasional news story about voting machines being laughably insecure, there isn't a huge popular movement to change. (Cost of switching systems can also be included here.)
Public trust: Even if cryptographers agree that a system is secure, if the system involves a user experience any different from the familiar "check off from a list of names" protocol, they'll have to work to convince the lay public that it's ok.