I changed my account name on day0. It has successfully changed in game. It took a while but it happened. I didn't do anything special.
Reports from the devs is that this should change by itself after about 24 hours. This time may or not be accurate, but there should be updates made that should address this "lag". Biggest issue at this time is the networking issues, which are getting priority.
In the mean time a workaround is to instead of changing your account name you can create a completely new account and then transfer your registrations to the new account with the tool below:
Keep in mind this is an all or nothing operation, and will transfer ALL registrations, not just Demigod.
UPDATE (4/29): There were some bugs found today in the database job that should be changing the user names. These should soon be addressed.