He would because this appearance is how he remembers himself and how all people who know him remember his appearance.
It was even said out loud in KH 2:
This is a question that is still unexplained as no one knows for sure what exactly happened when Sora returned to human form by Kairi's interference.
Fact is however that by merging with Sora at the end of the prologue of KH 2, Roxas definitely lost his physical presence and thus the "container" for his heart/essence.
As for the "identical"-bit, lol.
Roxas and Ventus actually aren't identical at all, just very similar like identical twins.
This thread talks about it:
http://forums.khinsider.com/future-kingdom-hearts/193406-should-roxas-vens-design-change.html
and here are animated pics to illustrate the differences regarding their eyebrows:
And if you look at my signature (or any picture that shows their hair completely) you'll notice that Roxas' hairstyle has more
spikes cause his hair tips split more than Ven's.