Aneka Koti Namaskarams Swami
Our names change from birth to birth. We are not body. However, we are individual souls carrying karma.
The world is also not Maya and is real. The experiences gained are also real.
Though Krishna says in Bagavad Gita that a soul cannot be cut with weapons, burnt with fire etc, soul is the one who feels joy and pain. Body is just a transmitter. Soul experiences everything.
So, obviously we should be thankful and develop love towards the creator who gives opportunity and take us towards Moksha. Moksha is the only means of continuous uninterrupted bliss, where a soul enjoys Kainkaryams to Perumal.
We can do Kainkaryams here also but we have obstructions like hunger, thirst, disease etc.
Who will not like a place where he has unobstructed bliss?
Further, we may lose our name. But, we don’t lose the identity that we are individual souls. As per Vedanta, a soul can only attain equanimity with Brahmam but is not merging with Brahmam. He remains separate and enjoys bliss.
So, we shall essentially choose the path of Moksha.
Sarvam Shri Krishnaarpanamastu!