Maybe the seller want's to private his personality. Its good for you both to hire a trusted escrow just to make sure you're money will not lose. But I see no reason why the seller doesn't wan't to show up his face it turns me up to curiosity.
You somewhat answered your own question. If we dig a bit deeper into why people wouldn't want to deal with random people, then it's safe to say that it's done to maintain a non crypto profile for the outside world. I would trade in this exact same fashion as well. In fact, I have sold coins through a proxy to someone who was in need of Bitcoin that wanted to pay a fair premium. The main point is that as long as the escrow (ie, proxy) is a reputable party that both the buyer and seller agree with, it's not a problem at all. In this case the escrow could even test if everything works properly.