There isn't a config option to do this for message posts but you could customize your message page to show first name and last name.
You would need to create a custom component that pulled the user's first/last name from their profile setting then add it to the Forum Message page. Before you do that - I can help you through the technical steps if you need it - you should think about a couple of things.
1. Do your users have first name and last name filled out? A lot users do not enter personally identifiable information in their community accounts.
2. How will your users feel if you start displaying their name? Do you want to add an option for turning this off or having users opt in before this is displayed?
There is a lot of back and forth on "real names" in comments and posts. Make sure you know what you are getting into :)
