But still even if they're trying to build a mythology around them and even if they're using a fake persona.
Their interaction on the 'net is with real people so I think the study felt that it would be legitimate to evaluate them as if they were flesh-and-blood persons because everybody has at least part of their real persona embedded in their internet persona.
As for the Milgram experiment I find it fascinating. One of its objective was trying to understand how perfectly 'normal' people could be transformed into monsters through compliance to orders (it was done post-war so they were trying to understand the nazi machinery).
But they also proved that most everybody has a sadist in them.
Derren Brown re-did it recently with pretty much the same results and as matter of fact he does all kinds of mindfuck experiments on people.