I think the idea comes from central and south American police who hide the identities of their police to prevent retaliation from organized crime, who are often very well funded and have no qualms about torturing and murdering random people to ensure the law remains powerless to stop their reign of fear and terror.

However, in this case it is to prevent the police themselves from answering to the courts, and to hide themselves from public scrutiny. Even if you are not breaking the law, America’s legal system is brutal and destructive, and they know that and don’t want to face it themselves.