It's possible that she doesn't take it away because she finds it amusing. Sure, it was an insult to have it stolen from her, but the Cowl does seem to cause no end of misery to it's owner. What better punishment is there for a fame-seeking thief than to have his name stricken from history?
I'm not sure it was even stolen. A thief, no matter how masterful, couldn't hide from Nocturnal. I believe it is her will to allow her stuff to be stolen. Her Eye, for example, could be little more than a test, and the reward is a greater ability to delve into the shadows and secrets.
If I'm not mistaken, the Cowl led to the creation of one of the largest organizations of shadows in Tamriel; the Thieves Guild itself.
If not the creation, then it did at least bolster it a great deal.