"Heh, I'm going to name my Roe 'Stinky Farts'. So hilarious! It will NEVER get old!" *Two months later:* "I want a name change. :<"

More seriously, though, the biggest argument AGAINST name-changing is that it takes away pretty much the only form of self-policing available to players: Ostricization. When someone earns a bad reputation, players should have the ability to recognize and avoid them, and to warn other players about them. GMs can only do so much, and there's a LOT of crap that douchebag players can pull off that GMs can't touch. Giving players a method to completely change their identity (both appearance and name) means that players can easily escape a bad rep whenever they want.

If SE is going to implement a name change ability, they will also need to overhaul the blacklisting system; make it so that if someone on your Blacklist changes their name, their entry on your Blacklist also changes. Additionally, it'd be helpful if you're able to tag names on your Blacklist with reasons why you put them there, so you don't accidentally remove them whenever you're purging gilsellers names from your list to make room.