What is the policy on using a web address as your display name?
There is no policy, because it is not, or has not been, a problem. Note that even if one uses their web address as their name, the link still points to their user page, where they are, and always have been, free to link to wherever they please. The links are nofollow until you get a certain rep, so it's not a big deal.
At this point, as long as the name isn't blatantly offensive I don't believe we need a policy. Let people put whatever they want there - if they are positively contributing to the site then it's a small cost for their contribution.
The recent name change was only implemented because people incessantly complained to Jeff and Co. about it. The squeaky wheel gets the grease. As soon as it becomes more of a burden to field questions about this non-problem than it takes to 'fix' it, a change in policy will be made.
However, unlike the "changing names frequently" problem, this is something that can't be fixed with a technical solution - every name would have to pass before a person for review, which means that people would have to flag posts by such users and have a moderator make a determination, which would result in all sorts of belly-aching on Meta - see: Chet Atwood issue
That 'cure' may be worse than simply telling people, "Hey, if they're advertising a site, I don't care. Only alert a moderator if it's blatantly offensive, otherwise let them get their pittance of branding because they are actively contributing to the site, and the branding is so minimal it's not worth worrying about."