May authors opt-out of the proceedings of a conference?
I don't know if there would be any negative consequences from the conference from refusing to include your paper in the proceedings, but there are several positive reasons to do so. I don't know about theoretical CS, but I understand that for many sub-disciplines of CS, the conference publication is more imporant for your career than any journal publication. So, if yours in one where the conference article is more important than the journal article, you may have already accomplished the most important part for you already by the time you give the talk. That being said however, you might still prefer to put the paper into the proceedings volume since:


it should be easier to find and refer to for future researchers and yourself than if it is on your website or the arXiv
a journal special issue is probably considered more archival than arXiv.org by some
if your discipline is other than I mentioned, you now might be considered to have a more prestigious journal article as well (depending, often, on whether others understand the level of peer review associated with that conference).


If this printing is a free service of the conference and goes in the publisher's digital archive, I'd be inclined to take the opportunity over trying to host it myself or arXiv it, and I have done so, even though CS is not my primary discipline. I'm not a big fan of the copyright transfer that is basically required to allow the big publisher or the professional societies to publish a copy of your work that they did not author (at least in the US and Europe).  

I'd say that it's unlikely to be a big problem with the conference for you not to publish in the proceedings, though you might get some pressure from them to include your article. Some of the organizers, if they are common one year to the next, might remember your refusal and hold that against you the next year, but that would be unethical in my view, so they might also just let it go. As long as the paperwork to submit the article to the proceedings comes after the conference, there's not much they can do to you before the conference (like pull your talk), so I wouldn't worry too much about that. Finally, before you sign the copyright transfer with the publisher, you have an opportunity to read the publishing agreement and decide if it currently or ever will meet your standards for openness. If it doesn't or never will, then you can make that call as late as possible if you want to.