Paycheck name

Hello, according to PeopleBooks, the Paycheck Name in Update Payroll Options is supposed to where we can enter a name, other than the employee name that is entered on the Personal Data record, to whom the paycheck should be made out. Is this supposed to work for direct deposits as well has paper paychecks? We had an employee who recently passed away so the name of the employee's spouse was entered as the Paycheck Name. But, the employee's name still printed in the self-service paycheck advice.

Thank you.