Name changes have no infrastructure negatives that I'm aware, as opposed to say account deletion which can screw with the forum's backend database. We have no problem with it in theory, as long as the number of people requesting name changes remains small. It would be a burden for mods to do lots of them, and it would break down community cohesion if everyone changed their name every few weeks or whatever.
Name changes affect all your posts, past and future. And when I say PM a mod I mean any of the mods, including myself.