It is a security issue and Delta is trying to be on the safe side. With name (and even easier with address) on a tag, a bad guy could easily determine the traveller (possibly a whole family) would be out of town, leaving behind an unprotected home which could then be targetted.

Just a FFN eliminates that while still allowing for easy identification of the bag by the owner (as orlandoplat observes). If another airline ends up with the bag they can call Delta and with the FFN quickly identify the owner and, as necessary, deliver or make appropriate contact.