It knows if it doesn't exist though. This whole thing is about sites that say "Username or password is wrong" when they know the username is wrong because it doesn't exist!
Imagine both 'dave' and 'davr' have an account. I'm 'dave', but I accidentally type 'davr' and my correct password. Now the site will tell me that my password is wrong. So I retype and retype my password over and over again and still can't log in, because the problem isn't the password like the error message says, but rather that I typed the wrong my username.