I think if you remember or know the truth about the curse then there is no need to change your name. Mr. Gold obviously wanted a name change, so people wouldn’t know who he really was or suspect he remembers. Regina and Jefferson have both kept their names because they remember. I still wonder if Sydney (you couldn’t exactly call him genie in SB, although Gene might have worked) knows and perhaps that nurse in the basement of the hospital.
As for the Mary and Margaret references for Snow in Red-handed, I think that was just the story writers having fun. I don’t claim to be as clever as them, but I might have come up with that idea trying to think of things in a breakout session with a group. It just made sense to tie it in, and I admit I loved it.