Hi PG. I'm Greg, an eleven years awarded MVP, Volunteer Moderator, and Independent Advisor here to help you until this is resolved.
Since it doesn't ask to set up a new display name when you write the first review then it must use your Microsoft Account Display name since it has no other way of knowing who you are in that app. See how to change the MS account Display name here:
https://support.microsoft.com/en-us/help/402772...
If that doesn't work then let me know and I'll dig deeper.