It's technically not an effect. (For example, if you hit it with Forbidden Chalice, its name will still be Harpie Lady.) Effect Monsters without effects aren't that rare. Cards like Gate Guardian and Exodia are, too.
It's an effect monster so its card text has meaning. (I guess that reasoning isn't as strong now that archetype conditions like Summoned Skull's are a thing, but that's clearly why.)
Sucks that a lot of Harpie monsters have their name treated as Harpie Lady in the deck as well. Really limits good deckbuilding with Harpie cards, even if they also released Dancer and Harpist.