I could be wrong, but yes you can edit on Amazon. An author friend typed her name wrong and when I pointed it out she fixed it. Goodreads...I'm not sure. You need a Librarian for that.
Personally, yes, I would change it. It could be trouble for you. Just as an example, if your name was JK Rowling, Harry Potter fans might buy your book expecting wizards. When they get erotica, yeah, they'll be seriously pissed. Not only will they return the books, but you have a much higher chance of getting bad reviews. And if your name is similar to another erotic author, then when readers find out you're different people they will return the books and leave bad reviews accusing you of trying to steal another writer's fame.
The thing is, people buy books expecting X. When you give them Y, some enjoy, most don't. You don't want your book plagued with bad reviews and promo just because of your pen name.
You don't have to change it drastically. For example, you're name on here is Jacob Wallace. You could change it to Jakob R. Wallace. That one letter in your first name and the middle initial is very subtle but will still give some distinction.
As for the people who have purchased the book already, I know on Amazon and B&N that when you're hooked into Wifi that cover changes do update. I bought a book with one cover but when I went to read it a few weeks later it was different.