They have their proper names while most of the people aren’t able to read or write their names. Because of this in English language people commonly use transliterated names. No one would type “Чайко́вский composed his first symphony” when you could see “Tchaikovsky composed…”. People would go totally mad if I would propose that Wikipedia would start using native script for person names.
I’m not saying we shouldn’t store this information. I just believe the current way isn’t the best way to do it. For example we have legal name type for alias which could have names in native script. We could also consider adding a new alias type for “native name”.