It did for me. Though I only changed the capitalization of my username. That was from within the PA client and non-Steam.
Yeah there are some complications regarding Ubernet / PlayFab / Steam username conflicts IIRC. I don't think your PA display name can be the same as your Steam display name. I get around this by having my PA display name as "[RLM] TheWrongCat" and my Steam as "[RLM]TheWrongCat"
The UberNet/PlayFab "Change Display Name" no longer works for PA. Here is how to change your display name in PA: http://support.uberent.com/kb/faq.php?id=59