Sure, we are "free" to say them. The only time to fight against these things is when they are small, like now.
I think there's a balance to be struck between respecting the names which certain groups prefer, and that's the hard part of society: you might spell your name "Анастасия", and I think it's fine to Anglicize that as "Anastasia". Someone else might prefer not to have to change their name, though.
Likewise, grammar and what words are considered valid are constantly shifting. I actually agree with you that "I want to use this name because this is the name that has historically been used" is a valid reason and valid preference!
Figuring out how to balance all these preferences is a hard problem. Fortunately, though, the right to call things what you want is absolutely not in question for these scenarios.
If there were talk of banning certain references to things, I'd be in the same camp as you, but that's not a problem we're facing today.
That's not how the residents refer to their own state or city, of course, but they can't tell you what to do.
Assuming you do not, why not?