SoTodayMyNameIs that sounds tough. Do you know why your son is doing it?
Is he forgetting, or doing it to make a point or to be nasty to her? How is he with his own name change?
I've got two kids, one birth child aged nearly 14 (dd) and an adopted son of 8. They rarely miss a chance to be rude to each other so my guess is your son is doing it to wind her up.
Whatever he feels about the name change it is her new name and so he needs to get on board.
I'd worry about the affect on her and try and get to the bottom of the reasons with him.
I think you have 100% done the right thing in changing their names.
Your name is not who you are. It is how others call you. We rarely call ourselves by our own name except to signal to others, IYSWIM. Whem we think of ourselves we say 'I' or 'me' usually - both out loud and in our heads!
I am me because of the way I look, sometimes how I feel, my life experiences, my position in my family (that's a massive one of course in afoptoom but with time it comes, we are four years in).
For example for me myself-I am me because of how I wear my hair, my look (which is why aging is such a kicker), I am me for my beliefs, I am me for the imprint I made on the world etc. IMHO.
So encourage their sense of identity in all the ways you can.
And good luck because you sound like a fab parent. 