It would be a nice feature maybe, but is there really any reason to implement it? I haven't seen anyone run into any problems because they had an issue with their user names. It's a cosmetic feature at best, so maybe it remains in the pipeline because there is no urgency to implement this feature in a way which would serve a lot of people.
Lots of users have requested name changes in the past and for a myriad of reasons. Some just chose their name in haste when they signed up and would prefer something different and some people don't want their name tied to their identify elsewhere. Some people decide to start businesses or sell products and would like their name to reflect that. There have been other genuine reasons to change names but can't quite recall them right now. If you do a bit of searching in Meta you'll likely find a few.
Agree.
I just want to add that having the old name of the user mentioned somewhere in the profile is a must tho to avoid confusion.
+ only 1 name change is allowed after approval by global mods or admins.