I completely agree with you, there's always ways to bypass the system. But at the end of the day its about raising the barrier to entry for everyone to be hacking. In the example you're giving, someone who wants to hack the system now needs to configure to separate systems to work AND have the technical skills to set it up. Without any local anti-cheat software, all someone needs to do is run software written by one person and run by thousands.

My overall point is that the current anti-cheat systems do work, not in every case, just like spam or antivirus software, but raise the barrier to entry so that you see less hackers while gaming vs without.