This is totally a personal observation and by no mean based on fact or reality.
I see 'initial' names mostly in NA and M/M romance-esp M/M romance where the author has an alter ego to write M/M separate from their het romance. It is by no means a branding of any kind, just something I've noticed.
Another thing to consider, do you ever plan on doing romance conventions? If so, pick a first name and last that people can pronounce. Makes it easier for introductions and for people to remember you. Also, don't do crazy spellings. While Wyndyie may be a cute way to spell Wendy and Strovovovvich may be your mother's maiden name, most people that want to search for your book by name might not get it right the first couple times they type it, get frustrated, and give up.
Just random and small things to consider.