Back in October last year, we resorted Sony was working on the feature to enable PS4 players change its online PSN ID. After being in beta review during that period and getting feedbacks from those who participate, the feature is finally available on the PS4 console and can also be accessed via a web browser.
As this is a major change, there is bound to be a little downside. Sony says PS4 games which were originally released on or after April 1, 2018 have been developed to support this online PSN ID change. This is not 100% guaranteed of course since not all games have been tested individually, you may want to see all games tested by Sony to support this change here.
Generally, most popular PS4 games are supported and there shouldn’t be any cause for alarm. For other questions, go through the FAQs on PlayStation blog here.