Nes and Nes
Being in the shadow world, Ray needed his full abilities to fight, he not only needed to use his magic skills but his fighting skills as a knight and his other abilities as well. So he decided there was no need to disguise himself while in the shadow world.
He could have disguised himself as the adventurer Nes but it had been a long time since he had just been him. He would only use adventurer Nes when he had to talk to the Red wing members as a whole.
The leader of the Red wings was to remain a mystery to most, a powerful man that was rarely seen that they could rely on.
This way he also wouldn't reveal to the student's that he was the student Nes as well.