The whole question of using autonyms (a group's name for themselves) or xenonyms (an outside group's name for them) is tied up in a lot of other issues and even language questions. "Hittites" is an xenonym, the English word that we use to refer to a specific people. In the same way, "Germans" is an xenonym for the people who are from the country whose inhabitants call Deutchland, which is Germany in English. Zhongguo is the Chinese name for the country we call China in English. The country of Finland refers to itself as Suomi.

Now, are any of these xenonyms "wrong"? I would argue the answer is no, and the reason is that English has its own word to use to refer to certain people groups. We have an English name for China, Germany, and Finland. Just as France has its own name for Germany ("Allemagne") and each of those countries has its own name for itself.

Names of ancient countries are the same way. Each one has a name for itself in its own language. But those names have filtered through other cultures and other texts, and some of those people groups have entered our culture and our language with our name for them. Ancient Egyptians referred to their land as "Kemet" meaning "the black land" referring to the very fertile soil along the Nile. The word Egypt comes to us from the Greek. But now, "Egypt" is the English word that means all things Egyptian. "Kemet" isn't part of the English vocabulary. It is the same when referring to the Assyrians, Babylonians, Hittites, all ancient people groups. Even Greeks. We use our names because we have a word for their people in our language. In academic texts when we are dealing with very small important details of national identity and differentiation of subgroups, we will use autonyms when we have them, but to refer to the group as a whole, we generally use our own English words, whether we are discussing modern people (like the Germans) or ancient people (like the Hittites).

It's not misleading because we have our own name for a group. We're all referring to the same thing, just in different languages.

Then, why do we still use another name to refer to them?

This is a daily pain in the ass when reading about Chinese history in English. Many authors err on the side of tradition, so the Generalissimo is always Chiang Kai-shek, the Hongs operated out of Canton, and the British were on the Peiho river during the Opium Wars. Others will only use the modern standard, so the Generalissimo is Jiang Jieshi, the Hongs (not Hangs, oddly) were in Guangzhou, and the river is called Beihe. But then a whole bunch of others just mix it all up willy nilly, often with the explanation in the preface that they're going to use what they think the reader will expect, but then not actually going with the most common names. Nanking is Nanjing and the historical phonological shift of palatailsation before front-high vowels on velar obstruents shouldn't freaking matter; they're the same word! (unlike Beijing and Beiping which actually was a change in name)

The point being, for books/writings that are meant to have a wide audience, if you start talking about Sūn Yìxiān or Sūn Zhōngshān, people are going to be confused, because they've only ever encountered his name as "Sun Yat-sen". Not making your reader feel stupid is, if not an explicit rule of writing, most certainly an understood reality.

Is not this misleading?

It can be, but then you could argue that writing about the Nešili and never once saying "Hittite" could also be misleading. A big part about writing as a specialist in a field is writing in a way that non-specialists can understand. When I publish linguistics papers they're not really accessible to someone without any linguistics training, and when I publish linguistics papers about Chinese linguistics, I usually need to include a crash course in all the weird terminology Siniticists use that other linguists don't. Otherwise no one's going to read it, and if they do, they won't understand it, and then they'll be grumpy and I'll not being doing my job (of explaining this stuff to people who aren't dealing with it every day).

There are many things to take into consideration when writing on these topics. Endonyms/autonyms are just one consideration. And sometimes (often perhaps), using the term the group calls themselves is actually more confusing. I did some work with a Taiwanese aboriginal group that are called by pretty much everyone who's ever written about then "Mayrinax", but they themselves don't like this name, as it came from a group they didn't historically get along with, so they prefer "Matu'uwal" which is what they call themselves. Google those two names and you'll find most of the English literature uses the former, and most of the results for the latter are in Chinese, and the first two results are actually me (hooray Reddit SEO).

do we know how Scythians or the Huns referred to themselves?

This is actually an even more complicated question than you might think, considering that historically, many different groups have been called "Huns". However of the most-commonly-referred-to-as-Huns group, we don't even know what language they spoke, exactly, and most of what we have of their language is in the form of people's names, so it's not really easy to say exactly who they were.

According to Herodotus, the Scythians called themselves "Scōloti" (Σκώλοτοι), and a proposed endonym is Skuda, which became Skula and then that's what's been treated in Greek as Scōlo(ti). Beyond that there's actually not a huge amount of information on what they called themselves.