The reason why some foreign names are anglicised whereas as others retain original pronunciation? Familiarity, mainly.
For example everyone's heard of Vienna, so don't use Wien.
Whereas few people have heard of Sankt Poelten, so there's not an English version. (As far as I know)
It works the other way round too. Many languages have their own version of Edinburgh. The French say Edimbourg. (With accent over the E) But they don't bother having a French version of Cumbernauld. (Again, as far as I know)
So it's mainly down to familiarity and prominence whether names are modified across languages or not.
During the Egyptian revolution (of 2011?) there was some discussion on the BBC about whether they should anglicise Tahrir Square or give it the local guttural sound. Less of an issue for Scots and more of an issue for English people who sometimes struggle with this vocalisation.
There are endless debates about Gaelic pronunciations too. For example the people of Mallaig apparently wish the BBC would stress the first syllable rather than the second. (As is their custom) Linguistically it apparently means the difference between a Gaelic name and a Norse one. Properly it's Norse. (So I'm told)
Other disputes go beyond mere pronunciation. The BBC attempted some sensitivity for example around the Derry/Londonderry issue, and decided to use Londonderry in the first instance and Derry subsequently in news reports. This even applied to reporting of the funeral of Martin McGuinness.
In New Zealand there's been bitter dispute over the addition of a letter H to W(h)anganui so that it conforms to traditional Maori usage. Is it largely symbolic? And if so does that make it any less important?
There are some famous Arabic names that are routinely modified into English so that they differ substantially from the original: Cairo, Damascus, Mecca and so on.
Many famous Indian names have been changed because of colonial legacy, from Bombay to Mumbai and so on.