Changing filename

Hi, please see this link: http://www.sorennellemann.dk/wp01.JPG

I can see that the file URL has changed correctly to /jordensetfrahimmelen03.jpg but underneath the filename (“filnavn”) is still kgsnytorv.jpg?

Shouldn’t this be changed as well?

https://ww.wp.xz.cn/plugins/media-rename/