EY makes complicated arguments. He's not the person to make arguments about X is good and Y is bad. Fiction is about playing with ideas.

As far as I can find the first instance of the term Bayesian conpiracy appear in a 2003 nonfiction article by Eliezer:

Fun Fact!

Q. What is the Bayesian Conspiracy?

A. The Bayesian Conspiracy is a multinational, interdisciplinary, and shadowy group of scientists that controls publication, grants, tenure, and the illicit traffic in grad students. The best way to be accepted into the Bayesian Conspiracy is to join the Campus Crusade for Bayes in high school or college, and gradually work your way up to the inner circles. It is rumored that at the upper levels of the Bayesian Conspiracy exist nine silent figures known only as the Bayes Council.

At the time it seems like a fun joke to make and it stayed. There are also a variety of other arguments to be made that it's sometimes not useful to share all information with outsiders.