Why do you need to know what gear you're in? You just need to know you're in the right one, which can be easily detected by the engine noise and the feel of the car when accelerating.
I think you answered your own question. The reason I need to know what gear I'm in is to ensure I'm in the right one, why else?
What about rally drivers driving cars with sequential gears? Aside from the fact that they probably know intuitively what gear they're in, the only way they know for sure is by looking at the display. I'm not comparing your average DSG equipped vehicle to your average rally car in terms of either equipment or driving experience, but surely they don't have time to keep checking their display to make sure that the gear they've selected is the most appropriate.
If I was driving a rally car, therefore thrashing it constantly for hours on end then it would be easier as I'd be constantly up and down the gears of my choosing (I'm sure that sequential doesn't helpfully put you into 6th gear at 30mph like the TT does). When you're driving around down at under 30mph you have to watch the dash display as you can be any of the 6 gears which is ridiculous.
As I said, if I had full control of the gearbox then DSG would be fine however I don't like how it decides that it knows best.