Any affiliate program paying out money for business expenses is supposed to have a W9 on hand when they send the payment. Otherwise, technically, they should be paying sales tax. If an ad network hasn't taken your SSN, EIN, or required you to fill out a W-9 and are based in the US, they are not in compliance with tax law.
I'm sure others out there can add to this or even make a correction or two - but that is the main reason they are asking you to fill it out. I've used them for over 3 years now, cashed out xx,xxx through their affiliate network and there's absolutely nothing about HM anyone should be skeptical over. Just my opinion based on my own experience.