I think it’s sad that we allow some people to wallow in their laziness. Because calling yourself a Jim when you’re really a Dmitri, just so some Anglo-Aussies won’t be weirded-out by it, not only caters for that laziness, but also sets a low bar.
“Oh no, this foreigner has a name which does not match any of the standard 30 names I have stored in my mental databanks, whatever will I do? I think my brain might explode.”
By making someone learn to pronounce your name properly, you’re actually doing them a favour by broadening their mind. But as I said with my own name, sometimes there’s only so much you can take of hearing your name mangled before you rename yourself “Bob” in a fit of frustration.