One thing to consider is the kind of writing you plan to do. Fiction? Go for it. Nobody cares. Personal essays, opinion, commentary are other things entirely. If you do use a pen name, I suggest it might be best to choose one that doesn’t sound like a pen name. People are more likely to respect your opinion if your name isn’t Catguy2000 or Princess Dye.
It’s understandable that, since deeply personal stories can blow back in a negative way on you or your loved ones, a writer may not want to use their real name when letting it all hang out. Go ahead and change names to protect the innocent. “My Husband Still Wets the Bed,” is a good example where this would be wise.
However, particularly if the story is hard to believe (How I Paid for My Harvard MBA By Selling World’s Finest Chocolate Bars Door-to-Door), unless you use your real name, people might think you made it all up. Maybe you did. In which case, stick with the pen name.