There is actually a reason why physical products make sense, but Clickbank isn't really tailored to allow for them to really play out.
If a person receives a physical product, two things now play more into your advantage:
(1) refunds drop, as some people just won't put forth the effort to return something, and
(2) grounds for chargebacks is now lower, as a physical product was indeed fulfilled.
If you know you can do it and still turn a healthy profit, it makes sense. It's not set up for Clickbank, though.