No one seems to want to field this one, eh?
Files names beginning with a dot are invisible, as a rule of thumb. You have to go out of your way in order to see them. This isn't just an OS X thing, either. It's just a thing. Take a little tour of your hard drive with the Terminal and try typing in the following command in different directories:
ls -a -l
You'll find your computer has literally thousands of the little buggers scattered all over the place.
The reasoning behind this is that typically these are files which you do not choose to use, manipulate, read, etc... as a user. They are generally data files which you interact with through one or more applications or executables. As a rule of thumb, you don't typically
read your save files in a text editor. Instead you use the associated application to read your save files. The files in .ufo mean very little to you directly, but they mean a lot to the game which then relays that information to you.
Make sense? The logic behind making it an invisible folder is that it would generally be in the way otherwise. Fortunately, you know that it's there and can get to it with ease (Apple + Shift + G and then type in '~/.ufoai' in the finder, for example).