Hmmm...not sure if it's always down to something shady!
Once or twice, i have made my feedback private, one occasion was when a buyer left me some not very nice feedback slating i had sold something which was not genuine (It was only a high street top and was totally legitimate!)
So i opted to make my feedback private until that page had passed because i felt it was damaging to my profile, even through we agreed to remove the feedback, it was still there for all to read.
I was still selling several others of the same top at the same time so felt it would be damaging for future buyers.
Also, you may have bought a pressie for someone and you don't want them to know about it - this is only good if they don't know your user ID. But if they do know your user ID, all they'd have to do is click on advanced search to see what you've been bidding on anyway!
So, i think that, occasionally, there are justified reasons for wanting to hide your feedback profile, but not on a permanent basis.