Because they're locked in a perpetual struggle against the demiurge?
To be quite honest, I think they're ceremonial masks, atleast I THINK that dagoth ur's mask was called a golden ceremonial mask in the dream, I'm not 100% sure though (and I'm too lazy to look it up
). But if I think about it, it's pretty much the same. I highly doubt they'd wear masks for protection...
You never get to see Dagoth Ur without a mask, do you?