I think it's up to the skaters which way they would want to do it. A lot of women performers, be they skaters or actors or musicians, keep the name they first become known by. For instance, the actress Demi Moore took her first husband's name before she became famous. She kept it even after they got divorced, and after she married Bruce Willis, and then Ashton Kutcher, because that's the name she uses professionally. It's also possible to use one name professionally, but a different one in your private life. I know a singer who went by "Miss F" (I don't want to write her real name here) professionally, but used "Mrs. M" at places like her kids' school.