Only "proper" solution is to /not/ sign into your MS account when seeting up the new machine for the first time. Create a local account with the name as you want it, and then only afterwards link it with your MS account (if you have to).
Only problem is, latest Win11 installer does not allow you to create a local account anymore at all. So you need to install Win10, do the work-around-dance, and then upgrade to Win11. I only relaized this after halway through my most recent format.
Every time when I ssh into one of my other boxen, I have to remember now to go 'SSH myname@ip' else windows helpfully defaults to 'mynam@IP'