I get this too I would really like to know how to change it, as my original login name was my IRL name, which I don't want displayed to all demigod players.

Creating a new account and transfering registration still didnt work for me, kept showing old name in game. This is what I did and it worked for me,

Once you change your name using the My Account up top in forums, go to your documents > My Games > Gas Powered Games > Demigod folder and open up ImplulseReactor file using word, replace the old nickname everywhere you see it with the new one and save the file.

Hope this helps, this was under Vista.