I've seen many suggestions for something along these lines. Some are almost exactly like you suggest and others have to do with adding to the tutorial, etc.
Being that it's a very small suggestion, it doesn't look like Badspot is going to add it anytime soon because it probably already would have been done.
A decent alternative would be a server-sided add-on that detects if a player hasn't changed their name from their default Blockhead name. It would give them a pop-up box upon joining that tells them how to change their name. It would then ask them if they wish to do it now, and give them a yes or no option. If they click yes, they get kicked from the server and get a pop-up box (like when you get banned) that says "Click the "Name" option at the bottom of your Blockland window to change your name now!"
I mean, it's a small step, but it's something.
