I think the name is really bad in Brazilian Portuguese. Here "pika"* is a slang for dick. At the same time, it is still the sound Pikachu makes ("pika pika"). So maybe there is no problem.
* I don't know about European Portuguese.
The correct spelling for the slang would be "pica", but both have the same pronunciation.
I don't know why but someone edited my comment. The original had 2 footnotes which were combined into one. Now it is ambiguous. Thank you for your disservice.
Most likely, you had a single line break between the two footnotes, but you need two to actually start a new paragraph. And if you started your second footnote with two asterisks, that gets read as an empty italicized string.
* I don't know about European Portuguese. The correct spelling for the slang would be "pica", but both have the same pronunciation.