When using a theme hook to alter menus, it works in blocks and other places menus may appear but not on the main menu and secondary links.
Use this demonstration code in a template.php then test the menu with the "My Account" link in both a block and the main menu to see the difference.
function mytheme_menu_link(array $variables) {
global $user;
if($variables['element']['#href'] == "user"){
$variables['element']['#title'] = "Hi ".$user->name;
}
return theme_menu_link($variables);
}