I believe it's because those wastes in the genitals often include sodium and potassium, or spare electrolytes and the idea is that the body rids itself of those electrolytes through the kidneys, and water follows because of osmotic pressure. If that happened through the anus, the large intestine would likely take up a large portion of that water and put it back into the recirculation and would also absorb the electrolytes due to diffusion so there would be minimal filtration and you would die of electrolyte imbalance.

In regards to urethra being near the anus, I think they're relatively close but you don't want them too close because feces is rife with bacteria and the urethra is an excellent environment for bacteria to multiply (dark, warm, moist) and you'd have near constant UTIs which could lead to kidney infection and damage. Some women actually deal with that fairly regularly, and is why women should always wipe from front to back after a bowel movement.