Your friend sounds much like how my sister was with me. My sister for the first few years after I had my name changed refused to call me Megan, she still kept refering to me by my old name, as well as male pronouns. There was a lot of jealousy there among other emotions, okay so it will take some time, as was for anyone else, occasionally they'd (my mom, brother, a few others) get my names mixed up, as well as pronouns, but my sister, didn't even want to try. What's worst is that she would always correct her children whom at the time were still very young, everytime they called me Megan, or Meg, she'd tell then that's its not Megan, its Michael,and she'd be really stern about it to, lot of anger there against me. But then later on, after several years of this spiteful childishness, I don't know how, but it was okay to call me Megan now, thank goodness her kids were still young, the youngest didn't even remembr having an uncle Mike, the older one though he never brought it out till much later, remembered something, but not in full details I guess, just remembered that one time he had an uncle, the next an aunt, yet we were the same person, it didn't bother him. But even after the both of them were told about me, don't know how my sister went about it, what she said, but it didn't matter to them, they still loved me the same, afterall, they are still children, not much comprehension on the whole sex/gender thing yet. But yeah, sometimes people, even ones supposedly close to you can be so damn stubborn and selfish.
I was telling my mom, reading your post to her a moment ago, she said that its because he feels like he's losing something, that if he were to call you by your new male name, that the friend that he's know and cared about all these years would be gone (of course you really aren't, but its not the same to him), it would feel like he's lost you, or that you died, if he were to give in to calling you Luke instead of Chelsea, so he continues to call you by your old name. He may say he's supportive, but really he's most likely hurt by the whole thing, and with the wanting to be called by a male name kinda finalizes what he's probably been in denial about, you wanting to live as a guy.