Can't believe that this is still not possible. Changes should just be tracked, as per the nature of the blockchain.
i.e. I create an account with the username "User1", once completed, this is recorded on the blockchain. I then decide I want to change later to "User2". The blockchain could be updated to show time/date/transaction and "User1" changed his/her name to "User2".
In essence, a name change would be the same as AND comparative to generating a new public/private key for a wallet, in the sense that it's the same wallet, just a different key, and both are recorded on-chain.
Even if the team decide to charge a few Steem for the transaction to take place, I'm sure for most users it would be worth it, as that feature is invaluable on a platform like Steemit.
This way, both old AND new usernames could link to the same profile, or the old link could be killed when the new username is created. I'm don't think it's a case of privacy, but more that people may want to change their nickname or branding, whilst keeping the record of all the work they have done so far.
Not being able to change the phone number however is ridiculous, as people lose, change and pass on numbers all the time, so this feature is an absolute must!
Hope I'm making sense.