Why shouldn't we? The reason is simple: to an English speaker it's simpler to say John than the original word in Hebrew, Yehohanan. It's not necessarily a translation, but a more or less natural mutation of a foreign word to another language. Otherwise, John would be called God's grace.

The question that you need to ask is: Why has this practice changed? Amongst other reasons, one that I can highlight is the decline of Latin as the language of knowledge; it's not unsual to know early modern people by the latinization of their name. In practice, if a word have a Latin counterpart (as most of the given names have) someone will easily know how to adapt everywhere in Europe (vg. Christopher, Cristóbal, Christophe, etc.); for surnames there wasn't always a Latin translation, that said, in books written in Latin people normally make names sound like Latin; s. Colón/Colombo > Columbus; Kopernik > Copernicus; Huig de Groot > Hugo Grotius; etc.

As modern living languages started being a standard not only for administration, but for sciences and philosophy as well (mostly French at the beginning), this practice clearly declined. Still, some conventional adaptations remain in most languages: names of cities, countries, kings, etc. Nevertheless, it's important to notice that we still adapt foreign names (and we always will), for instance, the original pronounciation of Khrushchev is something like "Hroosh-shoff".