Early beta info doesn't sound promising. I really don't know how Microsoft can deal with this issue perfectly fine yet Sony have advised that the name changes (in beta mode still, may not be in live) will come with the following risks:
Not all games and applications for PS4, PS3, PS Vita, and other PlayStation systems support the Online ID change feature.
If you change your Online ID, you may lose access to content (including paid-for content) that you have acquired for your games, including content like add-ons and virtual currency.
You may lose your progress within games, including game saved data, leaderboard data and progress toward trophies.
Parts of your games and applications might not function properly, both online and offline.
Your previous Online ID(s) may remain visible to you and other players in some places.
This list is seriously mental. I've been a big advocate of Sony and their PS4 of how simple the UI is and other interactions are, but this is totally unacceptable. I don't think many would change their name if you may lose saves files and DLC.