The MQDH method is really a solution for developers only. I agree there should be something for general users.
I also got the message that says "Connect the headset to MQDH to update its nickname" even though it is connected to MQDH and it literally says "active" right above that message. I was able to do a bunch of other things with the headset through the hub. I started link, transfered files, used performance analyser, used app distribution, sent adb commands, and it still did not think it was connected for the purposes of changing the name.
I have to think this is a bug at this point, but in the end I was able to get it to work but I don't really know how. I have narrowed it down to what I think it is though. In every device I was able to connect, it worked some time after I opened the phone app and connected to the device from the phone. It didnt work right away but it seemed to allow me to change the name a few minutes after I connected to the phone. That is why it was hard to verify if that was actually what the solution was. If this is the solution then it seems like the message might be wrong. It should say "Connect the headset to the phone app to update its nickname"
Oh and I also wasted a bunch of time after I renamed it waiting for the nickname to show up in the devices list on the phone. The nickname does not show up in the devices list (where it would be most useful) it does show up in the app after you tap the device in the list.