Because, I assume, with the way you get those channels there are loads of others you could also get, and it is in their interests to give you a visible station ident.
Because the people who run these channels are idiots. I for one would be more inclined to watch BBC Four if I could do so without my eye constantly being drawn to the logo in the corner of the screen (BBC Three is probably a lost cause anyway). The BBC also render BBC Two's overnight Learning Zone programmes unwatchable in this way.
Because if your television has a channel display near the on / off button, it will only show that you are on the digital gateway, not the channel you are watching.