I guess it all depends on how the label market them. I notice in shows and stuff Ayu's always address Hamasaki Ayumi, Ai as Otsuka Ai, etc. It's mainly on their CD covers that it's Ai Otsuka (which sounds weird to me, TBH), Kumi Koda (even weirder), and Ayumi Hamasaki.
Maybe Utada Hikaru just flows better as a name than Hikaru Utada?