One way of looking at the secret identity thing is that it's a bit of a cart-before-the-horse situation - that back in the day (usually 1st / 2nd wave detroit techno, hardcore / early jungle or classic UKG depending on who you asked) there were loads of amazing tunes coming out from anonymous producers and it was cool and something that doesn't happen so much now, but that people now try to consciously recreate that by 'being anonymous', whereas at the time it was a combination of there not being the channels of information to find out all about a given producer, and people just not really caring.
But then there's also the more conceptual thing that's always been an undercurrent in slightly artsy electronic music, and I think Gumdrops is right that it can be part of the fun if the whole thing is done well (ie if the music's up to scratch), or quite annoying if it looks like a gimmick.