They did, but at the point they were doing that, two things were different compared to now:
1) FCW ring names were people's names. Michael Mc

whatever was Joe Hennig, Husky Harris was Whatever Rotundo, Daniel Bryan was Brian Danielson, etc.
2) NXT. Yeah, it may exist now, but nobody watches it.
Most of the names WWE gives its guys right now sound like what one asshole would say to another if they couldn't think of someone's proper, actual name.
"Did you see the matches last night?"
"Yeah, that one guy won.

in' uhh...Horton, or Jimmy Fandango, or Husky Harris...McGillicuty...Whatever the

his name was."
McGillicuty ain't goin' on a t-shirt. WWE should know damn better anyway.
Also: Ted DiBiase. Why isn't he "Samuel 'Tits' McGee," if we're going by WWE metrics. Cody Rhodes was Cody Runnels for every match he was in until he set foot in a WWE ring.
Last thought on this: if you want to step out of someone's shadow, that makes sense. Goldust did it. But he was hardly acknowledged (and most certainly was not early on in his role as that persona) as a Rhodes until he went full on weirdo in 1999. It's been done before, and it's been done before successfully. But stepping out of someone's shadow is not the same thing as being saddlebagged with a

ing terrible name. If I ran a wrestling promotion (or school, rather) and someone came up with the ring name "Michael McGillicutty" and their persona was as wonder bread bland as Hennig's is, I'd refund their wrestling school tuition on the spot and tell them to go find another money mark to teach them - let alone put him on television.