Though their stance has changed slightly over the years, initially they wanted people to make decisions about their character carefully and thus didn't offer options like this. Decision making has been an impo9rtant part of FFXI for a long time, and they wanted every decision to have consequences.
Name changes are often used in games in attempts to escape bad reputations, or to harass people by mocking them with the feature. It's particualrly prevalent in PvP in FFXIV where people use it to try to conceal their identity.