This feature is by design. Since users can make blogs on your site, and domain names have specific character requirements, AND the user name is the default blog name, WordPress plays it safe to stop you from shooting yourself in the foot.
Section 2.1 of https://www.ietf.org/rfc/rfc1738.txt
The normal work around is to use the Nickname as how you want it and choose that option with the “Display name publicly as:” selection at Dashboard -> Users -> Your Profile
I only know of this: https://www.ads-software.com/extend/plugins/wpmu-blog-name-restrictions-override/ which lets you change BLOG names. You could try tweaking that for names, but I don;t know of a plugin that does it.