I've noticed that changing a user's display name does not seem to update that user's name in his/her comments. I looked through the source code and sure enough, there didn't seem to be any updates to the comments table in the wp_insert_user function, which is called by the wp_update_user function (both are in the wp-includes/registration.php file).
I figured this may have been something that the developers overlooked so I issued a patch and posted it to Trac (Ticket #11358):
Ticket #11358: wp_insert_user() does not update display name in user comments
I'm looking forward to any comments that other developers/administrators have about this behavior of WordPress and the submitted patch.