Names begin as a single name in a parent language like Latin and will be spread throughout the geographical area where that language is spoken (in the case of Latin, most of Western Europe.) However, languages change gradually over time, with speakers slowly but surely changing the pronunciation rules of individual letters/sounds. The interesting thing about those changes is that they tend to occur consistently across the entire language, instead of in small pockets. The names end up being pronounced differently because the descendent languages have changed how they pronounce the original sounds of the name. Often spelling used to change to match pronunciation, which introduces another way for names to drift.
As far as names adopted from other languages: remember that languages do not share the same sounds as each other. Many languages employ sounds that speakers of other languages simply cannot say correctly. Thus, many names couldn’t be adopted directly even if the adoptive speakers wanted to do so.
As to the idea of “why don’t they keep it the same?” — that’s treating a language like it’s a conscious entity. It’s not: a language is simply the sum total of everyone who speaks it. If everyone hears a certain pronunciation, they will follow suit. There is no overarching control over how the language changes.
Have you ever been to a foreign country and had someone mispronounce your name? It’s not that they all sit down and decide on how to mispronounce it, they pronounce it as well as they can, with the sounds their language uses. Not all languages use every combination of sounds, and something like a name gets a regional version that sounds good and pronouncable to the locals.
This is so pronounced with names because many names are very old, old enough that the language you speak sounded very, very different when the name got popularized by, for instance, the bible. In the time since then, languages have changed a lot, and the names with them.
Joseph or Michael were not originally pronounced the way you think of as the “right” way, the reason you think so is that that’s how they are pronounced in your own region.
Because languages were spoken rather than written for most people in most of history.
You will see languages undergo various sound changes, rather consistently, over time. So if you take English, French, and Spanish, and take Latin root words, you will see a consistent pattern. You can do the same with German as well, leading to other differences (especially in French vs English, where the ruling classes spoke Germanic languages initially in northern France but quickly adopted French while retaining their own pronunciation quirks).
So, as a simple example, the English word “stranger”. It’s etranger in French, and extranjero in Spanish (the x is a similar sound to an s, though not the same; that’s another change). English keeps the s but not the e, French keeps the e but not the s, and Spanish keeps both. Stephen/Etienne/Esteban (Stephanus). Strangle/etrangler/estrangular (strangulare). Is/etre/estar (esse, but drawing from third person singular est).
Guard/ward and Guillaume/William are northern French/Germanic pairs, and Johann/John/~~Iago~~Juan/Ian/Jean are all different variations of the same thing in German, English, Spanish, Scots, and French (from Latin Iohannes). Once you see this, it becomes obvious that there are patterns. Not perfect maps, but patterns nonetheless.
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