Oh wait, I think I misunderstood you.
You probably mean that the Gizmo disappears when you hit Play. I didn’t know it did that it did that, but it certainly makes sense. The Gizmo’s are ‘helpers’ for Modeling and making Transformations on Objects in your Scene and that is not something you will do, while Playing. Showing the Gizmo’s would just (marginally, but) unnecessarily slow down the Framerate, I guess.
Maybe it would be nice to have it as an Option though 🤔