In fact, if I was a member of a localization team of professionals, and worked for say Viz or Darkhorse, I'd be translating their names to Red Dog, Yellow Monkey, etc too.
As far as I know, and I admit I don't know much, names– nick, pseudo, code, alias, or other-- are typically always a toss up. There is no rule that says names cannot be translated, they just aren't more often than not because it is considered to be polite. There is also no rule that says names that are not legal names should be translated, they just typically are because they are not the primary and legal placeholder for the given person, and it would make localization easier. Pseudonyms, code-names, alter egos, alias', and some other types of names that generally replace another given name tend to be left untranslated more often than not, unlike nicknames, which usually stem from a feature and make more sense when translated. A simple example would be Joseph Stalin. That is a pseudonym that he gave himself in his 30's, not his original name. Stalin meaning "steel" in Russia. Does anyone, ever, call him Steel? No. Of course not. Vladimir Lenin as well. Nicolas Cage; though his might be a legal change. He named himself after Luke Cage from Marvel, lol. Woody Allen. Lucille Ball. Billy the Kid. Butch Cassidy. Mark Twain. Sogeking is obviously not translated, but that could be due more to his name being a pun blending two languages than for it being an alter ego / pseudonym. Ice Cube. Vanilla Ice. Hell, any rapper you have ever heard of. The list goes on.
Anyway, there is no rule either way, but I tend to lean towards certain types of names keeping their original language. More so when the name is used more strictly in place of their real name, or acquired from or for something, rather than something based off of a feature of theirs. Most of this is based off of conversations I have had with English professors and my brother– who studied and translated Greek-- and is, for the most part, just my own conjecture.
The point being, if I have a point at all, is that I don't think there is any rule that says that either option is correct or incorrect. It all comes down to the translator or the holder of the name's preference; even then, I don't think anyone can really say one way or the other is "wrong". But that's just my uneducated opinion...