Generally, in this country we have policing by consent, ie most people obey the law.
If enough people break the law the police are pretty powerless.
If, on a march of say, 20000 people, 80% of them wore masks, what would happen?
Maybe a few token arrests but each person detained has to be taken to a Police station and processed which takes manpower away from the march.
It's totally unworkable and I'm sure that the police aren't particularly interested in enforcing it.