In FFXI you are directly connected to one character usually, and not a myriad of alts and stuff. Your character has a reputation to uphold, and the community revolves around each others deeds and misdemeanours. A name change wipes your slate clean every time, thus detracting from any drive to be well behaved in game, and encouraging poor behaviour instead.

It is unique in that you can do everything on one character in FFXI, whereas in most other games, you need to reroll to play different classes etc.

I don't think this is the overrulling reason, but im sure it's a consideration, and personally I like that you can only trick the system into name changing if you leave the server too. However you can return to the same realm once doing so, but the cost is astronomical.