Because this is the recommended way to form the code-point labels:

"For each code point type without character names, code point labels are constructed by using a lowercase prefix derived from the code point type, followed by a hyphen-minus and then a 4- to 6-digit hexadecimal representation of the code point."

"To avoid any possible confusion with actual, non-null Name property values, constructed Unicode code point labels are often displayed between angle brackets: <control-0009>, <noncharacter-FFFF>, and so on. This convention is used consistently in the data files for the Unicode Character Database."

"A constructed code point label is distinguished from the designation of the code point itself (for example, “U+0009” or “U+FFFF”), which is also a unique identifier, as described in Appendix A, Notational Conventions." <http://www.unicode.org/versions/Unicode6.2.0/ch04.pdf>

I would rather see unicodedata.lookup() to be extended to accept code-point labels rather than "the designation of the code point itself."  The same applies to \N escape: I would rather see \N{control-NNNN} or \N{surrogate-NNNN}  in string literals than some mysterious \N{U+NNNN}.