So while I agree with you that the RFP isn't everything, I do believe that an RFP, or something like it, is important. Where else would you learn about the security of your data, uptime, pricing models, SLAs, proposed team structure, and address issues that you feel are important such as total spend under management and client spend growth? There has to be some semblance of apples-to-apples comparisons across agencies. It's also nice to revisit the winner-RFP once the engagement has commenced to hold the agency accountable to what they proposed.
Now, to your point, the client has to do a lot of other work: visit finalists in person, ask around, take a look at the Forrester/Jupiter research, talk to the referral list (and also find clients that left the agency in question and find out why).
But making a decision merely based on ROI *conversations* with smart people would be foolhardy. Just ask Bernard Madoff's clients.