Interesting question. I think one very simple explanation is that it's easier to denote oneself qua dressed using the fem-name rather than always tacking on "as dressed up" or "while dressed up" after the first-person pronoun. So, rather than indicating some sort of strict psychological duality, perhaps it's just a result of being easier with respect to linguistic usage. This is certainly a less interesting explanation, but it is one.
Personally, I don't think I've ever actually referred to myself in the third-person, and if I did, it was a rare occurrence. So, typically I'll say something like "I went to the store all dressed up", where I assume that the context of the forums makes it clear that "dressed up" means that I'm crossdressed.