I think in some cases a made-up name might seem more authentic to the made-up setting, than something too mundane and familiar (as, for instance, paranoid marvin's example of an alien named Dave).
Some readers let that sort of thing pass, or even prefer familiar names despite how they might clash with the setting. They'll be fine with characters named John, Bob, and Spike in a world that otherwise has distinctly Japanese or Welsh or Spanish vibes.
Others get incensed when the names don't match their idea of what characters in a quasi-medieval setting ought to be named (even, as with the case of one critiquer I encountered long ago, when the setting is not intended to be quasi-medieval, and their ideas of what medieval names were like is distinctly off anyway). Still others hate names that appear to be challenging to pronounce or otherwise too exotic for their tastes.
My experience, after writing 11 books is that you will never, ever be able to please everyone with the names you choose, so better to a) please yourself, and b) concentrate your efforts on writing a compelling story in an intriguing setting*—because if the book is good enough (but it better be good enough!) you can get away with practically anything when it comes to the names.
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*Although keep in mind that names can be one of the elements that make your setting seem authentic or suit the tone and atmosphere.