Sure, fine, whatever. Everyone deserves to be called by their preferred name. I find it weird though, because every country has a respectful exonym, so a direct translation doesn't seem wrong, and mixing languages seems even weirder.
I don't know why personal names don't typically get translated, but country names do, so this is not a hill worth dying on. It's just odd to me, especially since they are sticking with the colonial name instead of changing to some indigenous name.