I am always looking for an excuse to be Lady!Loki~ I think he wouldn't want it to be widely know that it was him, because the idea i have for him is that his plan of action now is to take the Avengers/all the good guys that seem to be here one by one. He's learnt from his first attempt that together they are strong but individually he can handle them all, so I think he'd use his Lady!Loki as a ruse to disarm them and keep them guessing i suppose. :) Also that is a good point, given that on the front they are good guys, Loki doesn't really have a great reputation as things go, so it'd be prudent to use Lady!Loki to dissuade that image of him.