That normally means you haven't imported any hands from this player into PokerTracker 4. On what poker site is this? Without specific details on where you play and your current settings I cannot be more specific so see our guides here:
PokerTracker 4 - Site Configuration GuidesNormally PokerTracker 4 imports from a hand history folder but some sites create an additional subfolder with the player name and the hands get saved inside there. If PokerTracker 4 is configured to import from the root hand history folder it will automatically check all subfolders so it wouldn't matter if the nickname changed however if you had PokerTracker 4 configured to import from the specific player subfolder then PokerTracker 4 wouldn't be able to find the new hands if your nickname has changed.