It is because it is custom content. If you generate names, you are getting names that have been approved my MS/Sony. If you enter them yourself, you are accepting that name as not offensive to you.
However, when you download user created content, it must be run through a function that checks against a profanity list that we don't have access to.
We are looking into a way of creating an exceptions list of words that do not need to go through the filter, but we are going to need the blessing of the console manufacturers.