Why is he called "Captain Man" instead of "Captain Danger"?

It would have been hilarious is Henry's alter ego had been named Kid Man.

"What kind of scary ass clowns came to your birthday party?"

Because Ray's last name is Manchester.

I don't get your logic? It seems like you are saying the sidekick should be named as if he is the super hero's child? Then we would have had Bat Man and Bat Boy. Anyway I think their names are fine. They'll work great if they ever have an episode where the two of them switch bodies or something. Captain Kid and Danger Man (or Man Danger). They could have this old device built by Ray's scientist father that they come across when they're cleaning out an old storage closet or something. They accidentally activate it and get struck by the resulting beam or energy field together. Henry takes on Captain Man's indestructibility while Captain Man becomes ordinary like Henry. Kid Danger would go rushing headfirst into everything while Ray would be extra cautious, concerned about all the dangers. I think that could actually be fun to watch.