It was likely dangerous for him to use his real name for the same reason that he refused to detail his escape from slavery.  Anything that would expose or link him to people that either helped him escape or give people reason to pursue him legally as an escaped slave would do several things including limiting his freedom, present legal problems, and even made him a more legitimate target for those who "owned" him in the past.  Because of those dangers, he never talked in any specific way about the people who helped him escape, the route he took, or any of the specific methods he employed as he wished to make sure that those avenues were still open for other slaves like him.