The reason we don't do username changes very often is because of people using the marketplace. While it's not a large percentage, it's enough that it becomes a concern when someone buys/sells things and then changes their username.
That being said, we're looking into a few options. One of them includes something similar to eBay, where you can change your username, but your old username stays taken, and is still linked to your profile. This is also important because we'd like to implement a system where your profile is at (username).cosplay.com or cosplay.com/username - and with all of the usernames that currently have symbols or other characters, that url would not work for some.
It's not a high priority at the moment but it's being worked out.