There was also a miniseries in the '90s based on In Cold Blood that used the real names (Bobby Rupp was played by a young Ryan Reynolds). I too found it very odd that they would change them for the Capote film.

But Alvin tells the press not to bother Laura Kinney once he says she found them dead. Capote when talking to Laura Finney (once again) calls her but that name, even though she was called Susan Kidwell IRL. Bobby is mentioned as Danny during an interview , in which hiding is name sounds ilogical. Capotes book came out with the real names.

At the time, these individuals had never spoken publicly about the crime (although Bob Rupp eventually did), so it was most likely done to protect their privacy.