As far as I know, Nintendo owns the character Mr. Wright, even if it is based on Will Wright. The character is also in Link's Awakening (both the original and the remakes) as Mr. Write, and as far as I can recall, Will Wright isn't so much as in the credits for Link's Awakening.

Heracles is only the protagonist of the first Glory of Heracles and a Game Boy spin-off. He's in a support role in all the other games. It's a Legend of Zelda kind of deal. Just because a character's name is in the title doesn't mean they'll necessarily be the protagonist.

With Japan's unusual history of isolation and then rapidly absorbing information from the West via various sources, I'm guessing they learned about Greek mythology through a different source than the English-speaking world. For what it's worth, Greeks themselves, or at least Greek-Americans, who typically still speak Greek, have adapted to the Hercules spelling and pronunciation. It's actually not a terribly uncommon name to give boys of Greek ethnicity. My husband grew up knowing a few kids named Hercules.