I've been asked to verify my identity only when setting up bank account, sorting out visa/tax with my sponsoring employer. After that it's only when leaving/entering country.
For my own convenience I use an english name to save barista butchering my name and feeling bad about it.
Naming kids was an exercise in linguistics. In Lithuanian we have some fun accidents like Justinas (just in ass) and Arminas (arm in ass)...
As for legally renaming yourself, I really don't know if the same rules apply. Probably the title-related ones, or ones that could be offensive, but I'd expect that's about it.
But just getting called whatever you like isn't a problem. I know quite a few people who don't go by their legal first name.