That's 'cause Kim Possible is such a glory-whore. At least Danny likes having a way to relax when the fame of Danny Phantom gets too overwhelming. "Forever Phantom" proved that Danny appreciated having a secret identity to hide under.
The only reason why the Fantastic 4 get to not have secret identities is because their achievements were well-known to the world long before the cosmic storm hit them. However, when the secret identity is that of a seemingly weak and nonimportant character, it becomes very important, especially in regards to close friends and family. Take a look at Spider-Man. He revealed his secret identity, and his life went straight to hell as a result (literally, when you take that Mephisto incident into account).
Danny needs his secret identity, to protect the world, his family, and mostly himself. Which is why "Phantom Planet" pretty much destroyed any chance of a Season 4. It destroyed the one thing that Danny needs most: animosity (sp?)