A couple problems with making the HUDs go transparent is that transparency/object effects used on the menu layer are expensive, and the transparency does not effect drawn variable gauges on objects (which each HUD uses). Basically, most of it would disappear, but you'd still have these coloured rectangles which wouldn't. It doesn't look right.
Having them move off screen was the only solution that affected the entire aspect of each HUD.
I could try adding a colour to the mini-boss and nightmare gauges.