The set of trace-class operators $\mathcal{B_1(H)}$ on the Hilbert space $\mathcal{H}$ is like the Banach space $l^1$, while the set of bounded operators $\mathcal{B_\infty(H)}$ is like the Banach space $l^\infty$. It is known that $\mathcal{B_\infty(H)}$ is the dual of $\mathcal{B_1(H)}$, and thus we have the state-effect duality: $p(E|\rho) = \operatorname{tr}[\rho E]$ where the state $\rho \in \mathcal{B_1(H)}$, the effect $E \in \mathcal{B_\infty(H)}$, and $p(E|\rho)$ is the probability of the state $\rho$ having the effect $E$.
However, if we restrict ourselves to pure states and projection measurements, then we can consider solely $\mathcal{H} \cong l^2$, so that the dual of $\mathcal{H}$ is itself, as much as $l^2$ is the dual of itself.
Now my question is, why don't we identify the state $\rho$ and the effects $E$ as the Hilbert-Schidt operators $\mathcal{B_2(H)}$, so that the states and the effects are naturally isomorphic, just as in the pure state case?