It can confuse them, but if you really don't like it than I think it is fine to do. They do get used to another name. One little tip though. When you change it I always found it is easier to get them used to another name by using the old name for a little while with the new name. Here's an example. There was a filly that I called June, her owner named her Senza so I got her used to being called Senza by saying "June Senza". The next day it was "Senza June" and the next day it was just "Senza". It seems to confuse them less and make it easier.