Old joke: "I'm a lesbian trapped in a man's body". Maybe that really does apply to at least some shemales: born male, they consider themselves to be female, but are attracted to other females. For those in that situation, keeping the cock makes more sense than getting rid of it and then having to use a strap-on. And for bisexuals, having both a cock and a hole is better than having two holes. To get rid of it, I suppose you'd have to be VERY sure that you'll never want to stick it into any sort of orifice again (on either a man or a woman), or you'd have to be someone who actually finds male genitalia repulsive.
Personally, I have no problem giving anal to a genuine woman, or receiving it from a strap-on attached to a genuine woman, but the thought of doing it with a shemale freaks me out. But I really can't understand or explain that reaction, if "she" looks just like a woman but with a more realistic strap-on than normal. If a shemale-fancier says I'm being irrational, I would have to agree.