I have changed my name when I have wanted to post about something extra-sensitive - particularly if it would identify someone else (if you looked through all my posts you would find out quite a lot about me and while that's fine for me I wouldn't want someone I was talking about to recognise themselves, iykwim). But other than that if I can't say it as moo I don't say it.
Though quite a few people change their name to stop RL people identifying them from their posts.
And some people change because when they firsy joing Mn they pick a really boring name and people say "what a boring name" and so they change it. Sunchowder springs to mind there