Because having a face makes it difficult to properly self-insert. I'd say "an established persona" too, but this is Touhou we're talking about, where those things usually goes out the window for the sake of comedy.
Personally, I prefer it that way. Having a guy - and a side character at that - be this overwhelming presence in a series where girls are the main cast is somewhat jarring. I prefer my "I see nothing, I know nothing" Kourin, thank you very much.