It's a bit of a hit-or-miss for me.
I only ever watch Anime in Japanese now, so hearing/reading the Eastern order is pretty natural to me. It throws me off every now and then to hear/read it in the Western order, but a context in which it makes sense are Anglicized characters, such as Sarah MacDougal from Love Hina, or Gene Starwind from Outlaw Star.
I feel that we should be willing to accept both forms, since not everyone knows/hears the Eastern order of names, and there are series in which the names are read in their localized order.