I came across this problem when using the PM - Find Members option. Where a member has a different display name to his user name putting the display name into the search box and pressing search brings up the display name but hovering the mouse over it brings up the username. If the name found by the search is clicked to put it into the To Box in the PM the name which appears is the username. I see two potential problems with this. The first from the member using the system - why is the To Address different to the one I selected and is it the same person. The second from the member who has a different display name to the username if he or she doesn't want the username displayed to other members.
Funny - I noticed exactly the same thing with Roger's name when I PM'd the moderators. I agree with you the chosen display name should be used everywhere (although I'd expect the mods to be able to see the actual user name).