I was able to change my name on all Stack Exchange sites, but not on the main profile at http://stackexchange.com itself.
Is there a ways to do the change on http://stackexchange.com as well?
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The central Stack Exchange profile is synchronized with your oldest profile; it'll update automatically.
So, since your first ever Stack Exchange profile was created on Stack Overflow, that's the profile it'll synchronize with.
You can force a manual sync by clicking on the
Sync with oldest profile link on the right-hand side of your network profile page:
That's right underneath the "About Me" section on the right-hand side (empty in your case).