I don’t understand the problem. If they translated Cristovão da Gama in the portuguese version, it’s problematic. If you are not happy because the english version translates the portuguese names, then you lack proper historical culture outside of your country.
Translating king and important people names is a generalized practise in history and in numerous countries. These names usually have the same origin (most of the times, a Saint name).
William will be translated to Guillaume (French) or Wilhelm (Germany). Joao to Jean (French), John (English). They are all the same name. It’s not anglicization of foreign names, it’s just things that has been done for 1000 years. Just look at the portuguese page of William the conquerors (Guilherme I de Inglaterra – Wikipédia, a enciclopédia livre). I could whine like you do because you call the great king Louis XIV " Luís XIV’’, therefore lacking respect for his name of french origin. But I won’t because it’s stupid and it has no meaning
Proper localisation of a video game should include translating the names, if these peoples are known by other names in the country. For me it’s Christophe De Gama and Henri le Navigateur. There’s no point calling them otherwise.