Heaps of other countries have names English speakers find difficult to pronounce, and a lot of Chinese names are actually pretty easy.
I've often wondered why it's only common among Chinese people (and maybe some South-East Asian countries?). I'm guessing it's a cultural thing. Names are weirdly sacrosanct in Western culture, it's anathema for most Westerners to think of changing their name when they move. I don't think it's like that in China.
No need to, as it's the same in English, apart from a minor difference in spelling. I do however mostly shorten to Chris when talking to non-Swedes because the name is stressed differently in English and that just sounds wrong to me.