How better to hide things than in plain sight. They say to hide a tree, plant a forest. You hardly think its real magic if its much more sane to think its a trick. Thats to those who don't know about real mages. But even if its Takamichi or mahoura mages, they have no reason to interrogate every single 'show magician' to discern whether or not she/he uses real magic especially a clown acrobat girl working in a circus where you'd expect magic tricks. Plus Zazie is discrete where it matters: towards the public (not us readers). Consider that because those people don't know any better than us readers.
Apparaently thats Zazie's "true/half form". If you noticed, her eyes are red and her fingers are very long. (I dont think its a claw...) My guess is she is 100% demon, probably on reserve for AFTER the magic world arc. She might even be the last boss....