Congratulations on getting the visa, and the short wait (since you did it in person!)!!!
My passport is in my former married name - I've been divorced for years and now been married to my DH for nearly 2 years. The fact that my visa is in my former name hasn't stopped me from adjusting to life with my new name, now opening accounts, etc., with my new name. The only time I notice these days is if I buy an airplane ticket, and I've done that three times since we've been married.
I decided it wasn't worth the expense to make the change when the passport expires in 2010 (I got the visa in 2007) and I decided to wait until shortly before time to apply for ILR to renew my passport - which I'll be sending off anyday now. So, when my new passport arrives, it will be in my new name, which then means my ILR will be in my new name too. I figure 'temporary' residency, I could deal with the old name, but permanent residency (and soon citizenship) is more important to have in my new name...
But, as others have said, it is 'fixable' if you want to pay to have it done...