I just recently updated to Wave 4 and although the interface is somewhat cleaner, I can't find a way to change my nickname. All I see in the options is 'Edit Name' and that only allows you to change your first and last name. The real big problem is that in conversations, I see my display name as my real name consisting of my first and last name whereas the person I'm talking to sees a completely different display name, they see the nickname I had while using WLM 2009.

Please read some of the discussion in the following thread:

Essentials Public Beta release

Display names have been removed from WLM Wave 4 in favour of the name on yourWindows Live profile, or Facebook (if you use the social integration)

thank you, it has informed me