Legally changing your name doesn't exactly give you full rights to a name. It would be difficult for a company to stop you from using it on your own, but it doesn't stop WWE from using it, per se.

What WWE has is intellectual property. If you are on or were on the roster, they have the rights to it. Now, to some degree, it's more of association. Let's say Dolph Ziggler owned the rights to his ring name, you can't say the name hasn't had a strong connection to WWE. Dolph would be able to use the name, but WWE also would. They just wouldn't, and it would be a legal grey area. That's what CM Punk ran into. WWE can make CM Punk merchandise if they wanted, but at this stage CM Punk would have to be paid royalties. He had to go to court to get that. He owns his name, but WWE also had it as intellectual property. The only thing essentially stopping them from making another CM Punk character, is you know damn well who CM Punk is, and at this stage they'd have to pay him royalties.

Randy Orton ISN'T actually using their real name. His name is Randall. If WWE were petty as hell, they could fight him using Randy outside of WWE if he were to leave. Thing is, it's such a common nickname for the name that the court would LIKELY side with Orton. There's no indication that he hasn't been called Randy his whole life.

What WWE doesn't like is grey area. They don't like to have anything that could potentially get them in court. So on video games "Steve Austin" is listed as "Stone Cold Steve Austin" but they'd have every legal right to use the name "Steve Austin" as its obvious intellectual property of WWE.

Changing your name gives you about as much copyright as mailing yourself in the mail.