[kgeist]

They didn't always call themselves Hellenes, at one point the more common names were Achaeans (hence Egyptian "Ekwesh"), Danaans and Argives. The word "Hellenes" is only found once in Homer. Or often people called them by their specific tribe, such as Ionians or Dorians. Some languages use older names because that's what they are used to. It seems that country borders, politics, self-identity etc. change faster than language.

[amilios]

You're right in that the term Hellenes appears later, however it is worth noting that there was still some sense of collective identity, even that far back, as evidenced by the tribes coming together when facing external threats (e.g. the Persians, or even against Troy in the Iliad), common language, culture, competitions that everyone participated in, etc. etc.