An eigenspace of a bounded operator $A$ is closed, because it is the kernel of $A-\lambda I$. More generally, an eigenspace of a closed operator $A$ is closed (the proof is not hard, but seems tangential to this question – it begins by considering the intersection of the graph of $A$ and the graph of $\lambda I$, which is clearly closed, and then projecting that onto its first component).
As to why we don't put a bar above the direct sum, well you would have to do that if you defined the direct sum as the algebraic direct sum (which is just the finite sums of vectors from different $E_n$). But one rarely bothers with the algebraic direct sum, so the bar would just get in the way. Especially when the spaces are orthogonal, so each member of the direct sum can really be written uniquely as a convergent sum $\sum_{n=1}^\infty v_n$ with $v_n\in E_n$ for each $n$.