A commenter on the "correctness" thread asked whether people are required, as a matter of standard English usage and as a matter of good manners, to follow another person's preferred spellings and pronunciations of that person's name. Is it OK to call a Juan "John"? How about pronouncing the name "Dzh-you-an"?
The modern standard English practice for personal names is, to my knowledge, different from the practice for place names: The bearer of the name is entitled to choose his own spelling, and, to a certain extent, his own pronunciation, so long as the pronunciation does not depart too far from the norms. It's considered improper, for instance (as a matter of both correctness and manners), to call Pedro "Peter" (unless you're doing so jokingly in certain contexts). My sense is that it's also considered improper, if you know better, to pronounce the "e" as "ee" if the bearer pronounces it "eh," though of course the L.A. "San Pedro" neighborhood is pronounced precisely that way (again, the difference between particular people's names, which track the bearers' preferences, and place names, for which there is no individual bearer but only idiom).
On the other hand, it's not considered improper to use an English "r" as opposed to the more trilled Spanish "r"; nor is it considered improper to use an "eh" sound for the "e" rather than the "ehy" sound that, I'm told, is more proper in Spanish. My sense is also that bearers are given less flexibility to insist on departures from the more common English pronunciations of foreign names. Thus, my father "Vladimir" calls himself "Vlah'dimir," rather than the Russian "Vlahdee'meer": Though the latter could easily be pronounced by Americans, "Vlah'dimir" is the standard American pronunciation (to the extent that there is a standard), and I don't think he'd be entitled to insist on it even if he wanted to (and he's not the sort of guy who'd want to).
The rule therefore doesn't just accommodate most Americans' difficulty with pronouncing phonemes that are missing in English (such as the trilled "r"); it also accommodates the unfamiliarity of certain pronunciation practices, even when the sounds aren't alien to the English-speaking mouth. So the rule ends up being a compromise between the bearer's preference and English pronunciation norms.
Others are expected to follow the bearer's preferences. The bearer is expected to tolerate the inevitable inadvertent errors when his name departs too far from what is familiar — errors that happen even among people who may have known the bearer's preferred pronunciation, but have forgotten it on the spur of the moment.
Why the difference between the practices for particular people and the practices for place names? Why don't we call Beethoven Louis (though apparently others once did, and so did Beethoven himself, at least in certain situations), but do call Deutschland Germany? I'm not sure. But I am pretty sure that this is the way it is, as standard English usage goes.
Incidentally, all this is the modern English convention; the rules seem to have been different in the past, especially as to famous people. The convention may also be different in other languages; I can't speak to that.