Hm, ok, not 100% up on the politics of initials but I'm gonna say most people don't include their confirmation name in their sig.
If Martin had the foresight at age 13 to select a confirmation name that began with the letter R so that when he was a 50-year-old successful fantasy author he could pay homage to JRR Tolkien, then he earned it.
I don't think there are really any rules for initials with respect to writers. Want to use your first and middle initial with your last name? Sure thing, C.S. Lewis, E.E. Smith, A.A. Milne, J.D. Salinger, H.P. Lovecraft, and E.E. Cummings. Got two middle initials? Okay J.R.R. Tolkien and W.E.B. Du Bois. Want to use your middle initial with your full first and last name? Go for it, Robert A. Heinlein and Arthur C. Clarke. Want to use your first initial and your full middle name? Why not, F. Scott Fitzgerald, J. Meade Falkner, and M. Night Shyamalan? Think capitalization is for chumps? Then you must be k.d. lang. Want to just make up a name entirely? Who am I to tell you no, Samuel Clemens (aka Mark Twain)? Want to use a title instead of a name? Sure thing, Donatien Alphonse François (aka Marquis de Sade). At least Martin stands alone as the only guy I know of to use a full first and two middle initials. About the only rarer configuration would be one first initial and a full last name ("A. Harstad") or a full first and the last initial ("Adam H.")
With all the stuff everyone else gets away with, what's a confirmation name between friends?