It's an extremely minor issue, I couldn't find anything through a quick search though so thought I may as well report it.
Steps if it's not obvious:
- Update username in game (can be either the LAN name or re-logging via Steam)
- Hit "m" to see your character with the old username
- Update the player character's username if the player changes it mid game. Perhaps it'd be an action that integrates with the lockstep system to ensure it works for MP.
- Perhaps have some sort of a flag set after changing username on the website, which the game would be able to query periodically (once a day/week or something) to detect if it needs to update the cached data.