To me or not to me - artists painting under pseudonyms

Recieved an email from an artist today asking for my views on her signing her work with a nickname. There are a number of artists who do this, 'Munro' is a local example. I guess if you are painting across styles it makes it easier for the audience to see each style belonging to a different personality, just as authors, writing different genres of books often use pseudonyms. If you are fortunate enough to become wildly famous, it could be confusing for the media I'm guessing. In the end don't know any rules as such. Guess its up to the individual to decide. What are your thoughts/feelings?