In the particular case of Wikipedia, I think they check User-Agent to prevent people from unthinkingly wasting gigabytes of bandwidth scraping Wikipedia via tools like wget. In Wikipedia's case, better ways exist to download large quantities of their content in a more usable form.
They may do that ('though requesting a single article works fine), but it's not very smart. Throttling heavy users - possibly returning 429 with a link to the download pages - would make much more sense. It's not like wget users can't change their UA.