Last Comment Name field is not removed after account cancellation
The forum module doesn't respond to any user deletion activity so you'll have to build your own solution here. You can create a custom module with a  hook_user_cancel implementation that will:


Check that the canceled user account is being anonymized.
Look up the username's entries in the node_comment_statistics (and other relevant tables).
Execute a UPDATE DB query that replace the name with "anonymous" (or whatever anonymized name you like).