When I was growing up, and first saw pokemon, I loved how they yelled their own names. Then, Ritchie showed up.
>Go, Sparky!
>PIKA!
I couldn't bare giving them nicknames. It sounded stupid, thinking "why don't they yell their nicknames?", but then I realized; a clefairy yelling DOOMGAZER or a charmander yelling DOG would have been unbelievably stupid. Likewise, they call out their name, yet they don't call out the name you give them; that would be confusing after some time.
I do have a clefairy named DOOMGAZER though. That's probably the only nicknamed pokemon I own.