Could you please post a screenshot of Lightroom Import module showing that Rename box is checked.
Also are you selecting Add/Copy/Move while importing?
I found an answer on this page
It is the same problem with CR2+JPEG files.
So an temperary solition is to UNcheck the "make a second copy" and LR will rename the files.
There's a bug where the rename won't happen if a) you're downloading raw +JPEG, and b) you're creating a second copy. Probably the best workaround is to do the rename after the import has completed. Adobe claim to be working on the problem.