Yes, and sometimes the members actually appreciate it like Siyeon from Dreamcatcher. She once said that she was impressed that International fans can say her name correctly.I use them pretty interchangebly but if I would ever meet them in person, I would probably use their stage names.
I know it is pretty rude but I've seen lots of videos where Korean fans will shout 'Kim Taehyung' or 'Park Sooyoung' in front of the idols. No one seems to find it impolite though...
I think it's a matter of saying it right and not misspelling it or saying it wrong, I believe that is mainly the issue.