I need to remember to teach my kids the story of Hananiah, Mishael, and Azariah instead of the story of Shadrak, Meshach, and Abed-nego. We call Daniel by the name given him by loving parents and discard what his cruel captors called him. Sure, this is no great moral issue. But I do think his three friends would probably appreciate the same consideration.
If the Lord spoke to Daniel, Hananiah, Mishael, or Azariah by name certainly he addressed them by name as: Daniel, Hananiah, Mishael, Azariah. Again, no great moral issue here. Just giving our honored predecessors a consideration they may appreciate.