This actually remind me of a conversation I had yesterday. I was saying that it would make more sense to be named when you're a teenager or an adult, but then you have nothing to call them while they're growing up. I said that a counsel of some kind should name people, get to know them and then choose a name that represents their personality, my dad said that people should pick their own names because they have a better idea of their true self than anybody else, to which I responded they would all name themselves awesome things alot like you're showing here.
Yeah that's the sort of mentality I had going into this comic. I figured, as mercenary slaves, how much thought could possible go into changing names. Usually names are changed based on experiences and preference. These guys know only war and death, I could only imagine that their chosen names could only reflect their grimm experiences and outlook.