I think it changes all historical messages to the new name. I changed mine a few years ago and all the old messages carry my new name.
I changed my AW nick a while ago, the nick changes in feedback left for others. Though if your name was mentioned in narrative left by an SP, as you say, that would remain.
Also, I have email from an SP who changed her nick, the messages sent under her previous nick now show against her new nick. From a technical perspective, AW seems to show your current nick, regardless of changes.
Hope that makes sense.
Guy
Yes, I was trying to say this but perhaps didn't say it properly.
I suspect OP is trying to work out if the SP will recognise that he has changed his name when he PM's her again.
Chances are she is unlikely to notice this, unless she is canny enough to click on "From", in which case your previous message to show will appear under your current one, thereby informing her that you have previously sent her a PM.
Tips
Ensure you start with a NEW message,
Also, check to see if she has deleted your previous sent PM. If she has, then she will not be able to work it out that you previously contacted her.
The only thing that puzzles me is why would you want to contact her again, without her knowing that you previoulsy did? Is there something else you are not telling us.