I don't see the harm in telling them the names either. If I know them. If we see Elmo, I don't know what the heck else to call him but Elmo, and that IS the name given to him. I wouldn't hesitate to call the characters in any of thier books by thier names as well. I hate, hate, HATE marketing to children, but if they associate with other children, they will be exposed to licensed characters, and knowing thier names doesn't seem like it will create any problems by themselves.
I see this recurring thought that if your children know who _____ is, they'll want you to buy everything that uses them as a marketing tool. That totally hasn't been my experience. Then again, we don't buy toys "just because" - usually just for birthdays, Christmas, etc. so there aren't many oppurtunities for them to beg for this or that. When there's something they need, I give them options without licensed characters to choose from. For example, my DD1 needs a new lunchbox for preschool. I've found some really cute ones online and showed them to her, letting her pick.
All children seem attracted to Elmo, and my youngest will squeal with delight when we see and Elmo toy, book, juice, etc at the store. I just say "Yeah! That is Elmo." and we go on. And I make a point of not buying that brand of juice, instead asking them to decide between flavors of another brand. My older daughter knows who tons of characters are from her friends, and due to some bizarre circumstances, has a Dora Candyland game. You know when she sees Dora anywhere she points it out. We just acknowledge it and move on. No biggie.