I understand the potential rational in something like the name Heinrich der Finkler to Henry the Fowler, since the 'ch' does not exist in English, but I don't believe this to be the case since something like Henrique (the portugese navigator) also gets translated to Henry, even though all the sounds exist in the english language.
The reason is because these names exist in all these languages in different forms.
Henrique is Portugese, but Henry is English and Henri is in French, Heinrich in German and so on, that is why people say that name in their own language.
It is like the English saying Marc Antony instead of Marcus Antonius, or even Iesus (Yee-zus) in Latin becoming Jésus (He-zus) in Spanish or Jesus like in English.
But, take the English name "Lane". Lane has no equivalent in other languages. There is no "Laine" in French or something. So, if Britain had a king called "Lane" then other people would have said Lane as well, instead of using the counterpart in the respective language