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Illyria isn't called illyria for nothing. The people in this country all seem to be suffering from some kind of love-sickness and they indulge themselves in this sickness. None of them are being honest to themselves let alone to anyone else.
Orsino thinks he is in love with Olivia, perhaps because she is unattainable since she is in love with the idea of being a martyr for her dead brother and father. Other characters like Toby, Sir Andrew, and Malevolio are likewise clueless as to what love is.
It takes a castaway Viola disguised as Ceasario to teach Orsino what love truly is. Olivia falls in love with an image, Viola/Caesario . When she meets Sebastian, she has already fallen in love with him physically.
There are a couple of reasons Orsino does not go directly to Olivia but uses an emassary, first Valentine and then Caesario, is that in that world a man did not directly court a woman but went through channels, so to speak. Secondly he respects the fact that she is in mourning.
These are two practical reason. Of course, from a story telling point of view, it is necessary for Olivia to fall in love with Caesario who as Viola is in love with Orsino.
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