In show business, stage/screen names are often used to fit the actor's desired image. This definitely fits in with the ethnicity thing--most Americans are not going to see someone as an "everyman" if his last name is too "ethnic". But this was once common even for people who already had Anglo names; Gary Cooper apparently didn't think "Frank James Cooper" projected the right image, and I don't think anybody would accept Marion Morrison as a cowboy/war hero as readily as they accepted John Wayne. In other cases, people come up with stage names just because they're more cool. Who would you rather see in a movie, Vin Diesel or Mark Sinclair?
The only exception to this that I can think of is Arnold Schwarzenegger. I guess with the accent it wouldn't have mattered if he'd changed his name to Mark Johnson or something.
Up until fairly recently, I had no idea Charlie Sheen's birth name was Ramon Estevez.
Martin Sheen, actually. Charlie Sheen is Carlos Estevez, and chose his screen name to match his dad. In contrast, Charlie's brother and Martin's other son, Emilio Estevez, deliberately goes by his real name.
