Actually the games do fast forward through dialogues. If you notice the player's orbs around them during dialogues that are not skipped by the player, their spin will be faster when watched through a replay. All replays do is run the replay a little faster when there's dialogue present, at least on the older games. (I forget if the newer games do this as well, I don't play them as much)
And if you didn't know already, to run through the dialogue really fast like a lot of people do, instead of pressing Z many times, hold down Ctrl.