No need to change the skin. There's a variety of options available under the 'Identity shown:' field of the user's profile. You would want to choose the <<First name Last name>> option.

(You didn't specify your version and I can only vouch for 3.3.3)

Is it possible to change the default "Identity shown", or will we have to set it manually on each profile?

I'm on 3.3.3

You can change it in your skin, but it's probably easier to hack the core

inc/comments/model/_comment.class.php

	function get_author( $params = array() )
	{
		global $Plugins;

		// Make sure we are not missing any param:
		$params = array_merge( array(
				'before_visitor' => '',
				'after_visitor'  => ' ['.T_('Visitor').']',
				'before_user'    => '',
				'after_user'     => ' ['.T_('Member').']',
				'format'         => 'htmlbody',
				'make_link'      => false,
			), $params );

		if( $this->get_author_User() )
		{ // Author is a user
			if( strlen( $this->author_User->url ) <= 10 )
			{
				$params['make_link'] = false;
			}
// added line
$this->author_User->idmode = 'namefl'; // or namelf
			$author_name = format_to_output( $this->author_User->get_preferred_name(), $params['format'] );

¥