I have not had a student from a different culture have a nickname, but I have had a student from our own background request for me to call them something different. It was very effective! It was something that I never would have thought would make a difference, but his attitude, responsiveness towards me, and his participation even in class was more pronounced. The Hollywood story is so interesting! As a person who doesn't look very deeply into cultural differences, I can completely understand the challenge of that story and where the frustration comes from.
I think that taking the time to really listen to the students and hear what they are saying as far as how to pronounce their names is more deep and important than we as the teacher take credit for. Listening to their peers as well can let us in on a huge insight into their preference and liking of what names to be called in school.