It does, actually. Nero did have a full Devil Trigger designed for him, which you can see in the DMC4 Artbook. I forget exactly why they went with having the "Astral Projection" thing, instead of an actual transformation, but the projection he does get does still carry many of the same design traits.
So, it does still "Look" like this...but yeah, it would have been cool if it had been an actual transformation, like he's shown half-way through here... And it's awesome.