Thing is, when you're even remotely intimate with someone here in Brazil, you address that person by the first name. Even if you're not intimate with someone here, you rarely call someone by Mr. (surname), but rather by Mr. (name) (Mr. here being the informal word "Seu" (men, comes from "Sir") or "Dona" (women, portuguese for "Lady")).
When it comes to footballers, they're already called by their first names (or a nickname) from the time they were in children's teams. Ronaldo (from Real Madrid), for instance, was always known as Ronaldinho (Little Ronaldo), because he was a skinny kid.
And when Ronaldinho (from Barcelona) came to prominence, he was nicknamed Ronaldinho Gaucho (gaucho being the term for someone born in the state of Rio Grande do Sul, in southern Brazil), to differentiate him from the other Ronaldinho.
Now that Ronaldo has gained muscle mass, he's being called Ronaldo, and Ronaldinho Gaucho is slowly dropping the "Gaucho" from his nickname.
The foreign press has the habit of giving honorifics to the best players, and these slowly get incorporated as well. Ronaldo is known as the Fenomeno (phenomenon), while Adriano (from Internazionale) is called Imperador (emperor).
So it's just a cultural tradition to infer a level of intimacy with the footballers. Kaká (from Milan), for instance, is short for Ricardo.
As for the two main attackers in 1994, they were Bebeto (short for Roberto) and Romário.
As for Pelé, it's just a nickname from when he was a kid playing "peladas" ("nakeds", the term for informal football matches in a neighboorhood field) in the small town of Três Corações ('three hearts'... no 'three lions', though...

). The press has awarded Pelé the honorifics of The Best Football Player in History, and The King of Soccer, back when he scored his 1000th goal. Pelé is regarded as the best footballer ever, with the too-often-forgotten Mané Garrincha (the angel with crooked legs) in 2nd and that midget Maradona in 3rd (argentinians have the nerve of listing Maradona on top, though...

). There is a quite decent documentary about Pelé's life, it was released in 2004, iirc, and is titled "Pelé Eterno". Football fans should hunt that down.