I always wondered why the days of the week weren’t renamed?

For example, “Thor” is still a common name in Scandinavia and many Germanic names are references to old “heathen” beliefs.

With the exception of the first person given a name, personal names are not necessarily meant to carry a lexical meaning; once that name "takes root" in a given society, it will generally take on a semantic life of its own that is divorced from its original etymology. There are plenty of Gaulish personal names, for example, which have seemingly vicious or bizarre etymologies like Curmisagios ('he who searches for beer'), Merogaisos ('crazy-spear') Catuuolcus ('falcon of battle') or Orgenomesci ('drunk with massacres'), but it's not likely that parents named their child with the intent that they hoped for him to become a drunk or murderer - these names would have rather been associated with other individuals or acts performed by them rather than their precise etymology. Even today, many people are named after historical individuals such as Alexander the Great, not the Ancient Greek etymology of that name; 'I defend' combined with 'man'.

This is especially true in societies in which precise etymological analysis of vocabulary had not yet been established - in Old Irish, for instance, we actually do have a surviving etymological dictionary called Cormac's Glossary, but these etymologies are more often than not completely divorced from the actual etymology of that vocabulary. Instead, it reflects a "folk" understanding of the origins of words based on their similarities to other Old Irish terms, or even Greek, Latin or Hebrew ones (for instance the word geilt, 'madman', is said to be derived from the verb gelt, 'grazing', when it really is descended from a Proto-Celtic term for 'wild' or 'wilderness'). What this indicates is that even if a name has what is to us some seemingly obvious pre-Christian etymology, it may have been reinterpreted by post-conversion speakers over time.

Because nobody cared.

Concern with the meaning of names and their Christianess quotient are a modern concern. "Modern" as in Protestantism vs Reformation.

The Indo-Europeans seem to have lost interest early in what personal names "meant": they meant "that person over there." They used bi-themic names mostly, using a "root" and a "stem" to build a name. We see this in Greek names, Germanic names (I've been reading Seibs Die personnennamen der Germanen ) and Celtic names. Some of the combinations require gymnastics to make them have the "meaning" people want to force on them. It's one from column A and one from column B, and it didn't have to make sense except by accident.

The interest in meanings only arises with philology in the 1800s. After the mid-century is when prescriptive baby-name books come out, or even articles on baby-naming in housekeeping books and anthologies. It's only by the 1880s or so that we get enough people knowing that some names have pagan origins that they might lead rallies and write letters to editors to get them Christianized (though they didn't). And still, most people wouldn't care. It's still just the name of the place, like Torquay.

Now whether a name is "Christian" in use rather than meaning is an older concern. It was Protestant in some versions to no longer venerate saints. So some people cut back on those and gave children Old Testament Hebrew-source names. So the Reformation brought a big push to be sure to give your baby a saint's name. Still, most people continued to name children after relatives with the usual short list for either sex.

In the late medieval/Renaissance, there was a mania for Classical names, so much so that The Compleat Clerk included the Latin forms of Medusa and Achilles for filling out legal documents involving live people with those names (1600s). Camden, about the same time in Remains Concerning Britain, condemns this as an evil heathen practise, taking issue on Christian grounds rather than those of meaning.

An outlier on caring about meaning were what Camden called the New Names. Curiousities of Puritan Nomenclature is the book on the subject. But in this case they ignored extant names and thought they should do like Hebrews of old and give their children names with clear meanings in English like Hope, Increase, Fly-fornication, and Through-much-tribulation-we-reach-the-Kingdom-of-Heaven. The last became popular as Tribulation, nickname Tribby or Tibby. This survived longer in America than England, except the short pretty ones (Hope, Faith, Charity, Pearl, Jewel, &c). Even more than Hebrew names it signalled you were Puritan Anglican.

So it's anachronistic to attribute to early Christians with Indo-European naming systems the later concerns with name meanings or using them as badges of allegiance.

[Edit: format, typo]

I answered a similar post back in June. It addresses several of the central concerns and assumptions behind your question, so perhaps you will find it useful. Feel free to reply here with any clarifying questions you might have.