The name you chose when importing is the name iPhoto saves in its database for the roll of film as a whole (and I suggest changing the setting so that iPhoto displays the roll names in the list through the View menu -> check Film Rolls), it doesn't change the file names at all as far as I know.
If you need them to have other names that what the camera gives them, I would suggest using a program (can't remember any of them now though, sorry) to batch-rename the files prior to importing them to iphoto (or copying the roll to another folder afterwards, naming that folder to whatever you want the roll to be named, batch-rename the files as you wish, deleting the roll and its images in iPhoto [you already have the copies with new names in a new separate folder], then dragging that new folder back to iPhoto to re-import them, lastly remove the folder you created, iPhoto will have copied the images to its library).
It's a tedious process, probably because the iLife suite programs aren't centered on the files themselves, but rather on how they are presented through the program's interface. One reason that Windows renames the files is really that it should be easy to find them manually (there isn't any iPhoto-like program there to keep track of the files), but through iPhoto it's usually easy enough anyway since they're grouped together in rolls.