The long-awaited name change feature coming to PSN, which will be part of the 6.10 firmware update, is currently being tested by select players, some of whom have been discussing the feature over on Resetera.
According to the literature shared on the forum, it appears that changing your in-game name carries with it some risk, including the potential loss of save data, your position on leaderboards, and progress towards trophies. Not only that but early adopters are also warned that access to paid DLC may also be lost. Here's the information that was shared:
Not all games and applications for PS4, PS3, PS Vita, and other PlayStation systems support the Online ID change feature. If you change your Online ID:
• You may lose access to content (including paid-for content) that you have acquired for your games, including content like add-ons and virtual currency.
• You may lose your progress within games, including game saved data, leaderboard data and progress toward trophies.
• Parts of your games and applications might not function properly, both online and offline.
• Your previous Online ID(s) may remain visible to you and other players in some places.
Back during the initial announcement, Sony explained that the feature "is compatible with PS4 games originally published after 1st April 2018, and a large majority of the most played PS4 games that were released before this date." That vagueness seemed to indicate that there could be teething problems, but with this latest intel, we can see the potential extent of what might happen.
The first name change will be free for players, with subsequent changes set to cost €9.99 / £7.99 (although PS Plus subscribers will get a 50% discount). Those who make the change during the preview period will be able to revert back to their old profile, although Sony makes no promises that doing so will fix any issues that players encounter.