There is something wrong with the permissions on our board as I added a yes to the Pro Group they can change there name but they can't. They see there name in bold where they should be able to change there name.
Check the permissions for all the groups they are in. If any group they are in has the username permission set to never then they will not be able to change it as the never overwrites all the permissions of all the other groups they are part of.
I believe FP allowed this a while back but they changed it because people were changing their names left and right.. Mass confusion amongst members was common around the community and they removed the ability and put up a username change request thread.