As everyone knows, renaming a hybrid joined device is not supported.
No one knows this as it is not a true statement. You cannot rename an HAADJ device from MEM admin console, but that doesn't mean that you can't, or it isn't supported to rename the device locally.
There's nothing special about renaming an HAADJ device as long as you rename it locally as noted and while it has connectivity to the on-prem domain that it is joined to -- you should be able to rename it while it is not connected as well but the changes won't be fully effective and propagated until it connects again. AAD Connect will also have to kick off its sync cycle (by default this is every 30 minutes from memory) for the rename to fully propagate as well.
There's no reason to manually rename any objects in AAD for this and that may actually cause issues.