Puella Magis' (and the candidates') family names (Kaname, Miki, Tomoe, Akemi, Sakura) are in fact more common in given names than family names, while non-magical people's family names (e.g. Saotome, Kamijou) can't be given names. Assuming the loop theories (global reset, time travel, etc.), this may mean that their family names are in fact their real (given) names.
The significance of this is especially emphasized in EP1, where Madoka calls Homura Akemi-san and Homura silently expresses a deep pain, possibly implying that Akemi used to be her real name, only allowed for the closest people. Or it might instead the other way around that Homura was disapointed because the now Madoka think of her as a stranger.