Do you think musicians with stage names who don't want to be called their real names in interviews are pretentious?
I think so. You're allowing your profession to overtake how you are in the outside world. We know it's an act, and you're trying to maintain an image that isn't really you. You gave yourself a fake name and fake persona and expect everyone to share your fantasy stage character.
Let's say there's a rapper doing an interview with a respected journalist and the journalist goes, "tell me about your childhood, Frank." Now imagine if Frank replies with, "please, my name is Sir. Butthole." We all know it's Frank, but to continue with his charade, we are forced to call him Sir. Butthole.