The "Real Name" field in your profile is only visible to you, moderators and Stack Exchange employees. If you log out and look at your profile it's not there.
You will need to click Save Profile button when making a change on your profile to keep the update.
Your meta profile here will be updated in due time as that pulls from the main site profile ...
Timeline would be:
The question was asked on Security Stack Exchange, where the asker had an account and where they left comments
The question was then migrated to Super User, where the asker did not have an account
The asker created an account after the migration, but the comments remain as they are, "unlinked" to their account
That's how it is.
an advertisement frame popped up
No idea what that was, but we don't do popup ads (it's not clear from your question whether you were assuming this came from us).
there should be some sort of confirmation
Wherever possible, we tend to go with the no need to confirm if you can undo philosophy. That's why within 15 minutes of your change, you would have ...