Those who dream by night in the dusty recesses of their minds wake in the day to find that it was vanity. But the dreamers of the day are dangerous men for they may act their dream with open eyes, to make it possible.
As technology has gotten better there is less reason in most games for one to have a visual presence in the game world.
I would guess that the lack of one helps keep out the innane barrage of /whispers they would receive while trying to actually help something, if they were visible in game.
I would further guess that if you are in a situation where a GM has to actually send you a message in game, that is going to likely be the only time you'll see a name with the Z logo on it in game, unless something really crazy is going on.
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If you're referring to the note that sometimes comes up on the loading screen I think it's just there so other players can't pretend to be GMs. That was very common in some other games and people would pull all kinds of scams via pretending to be staff (usually with 1 or more other people backing them up by 'confirming' they are staff.
I know in other games the staff have separate accounts for acting as GMs and for just playing - because GMs tend to be mobbed with people taking screenshots, asking questions and just generally bugging them. I suspect it's the same in ESO, but the GM accounts are rarely used.
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