Actually there are some talking points here which are intermingling. 
I don't want to dwell on the Anglo-Saxons, as some of them are really nice people 

, but from my experience it's really common for them to anglify foreigner's first names especially - Luciana becomes Lucy, Matthias Matt. I haven't experienced this in other languages as much, although sometimes Chinese or Thai for instance in Germany change their name themselves so that they won't feel like an outsider so much and their name doesn't constantly get butchered. It's actually sad, I'd rather make the effort to pronounce them (half-)correctly.
Isn't part of the discussion here actually the difference between how a word is written and how it's spoken, and whether you should follow the written letters or the sound of a name?
I would never say Milano in German. It's Mailand, because, yes, Milano sounds totally artificial if used in a German conversation. Same with Paris or London.
But I think there's a huge difference between using the common pronounciation in your country for a big, known city, and germanizing/anglifying, whatever, a town which has no such standard pronounciation.
Same goes for proper names, actually. Cäsar is Cäsar in German, Cesar in English. I wouldn't use Kai-ssar in a conversation.
To me it's less important to not change a city's name, I'm okay with it getting home-sized, but when it comes to people I'm actually annoyed because that feels disrespectful to me, like you are not respecting who that person is.
Which name you use for a city can be extremely political, sometimes I don't even know about it, but who has used the name before is quite important - not so much when it's about whether Fribourg should be pronounced French or English (personally I never know whether to pronounce it German or French when I'm in a German conversation), but for instance Stalingrad-Wolgograd, or cities in Eastern Europe which often have German names as well, but if you use them it's indicating a bit these cities should belong to Germany...
I would never have thought this question could be one of modern English politics, though, I'm quite surprised!