This was an issue with the bp social connect plugin, we have fixed this issue and released an update 2 days back.
So please update your bp social connect plugin to avoid this in future.
The username is not editable that's why its not changed, your screenshot shows that the "User_nicename" is changed which is shown as the author url and is generally same as that of username. The user_nicename is same as username but in actual it is different because if your username was changed then you could not even login in your website. Username is saved as "user_login" in the databse and this one is your user_nicename that you have to change.
To change your user_nicename you have to make changes in the database, go to your phpmyadmin and open your database, then go to wp-users table and edit your user_nicename, refer:
http://prntscr.com/c3ubfx
Let me know if this helps.