Shut the Vegas project and try it with the Windows Explorer. If a Vegas project is accessing the file you may be dealing with locks. It's probably easier to do it outside of Vegas than the struggle with it.
I posted a query about this a few days ago. I think its a bug. Your suggestion to shut Vegas and retry with Explorer is a time killer. You can open the Explorer from Vegas and rename files but then Vegas will complain about offline files. It's a real nuisance. I hope they fix this in the next update.
While it is common practice for other applications to make changes to files while Vegas references them and Vegas releases them (or the OS takes them away when focus is lost). I get the feeling that changing the file name while it is being used by multiple applications will get you in trouble with the OS. That may be a tougher nut for an application to crack. I could be wrong, given the magic that operating systems do these days, but I've been doing this stuff so long, I can certainly remember when you couldn't change a file name without exclusive control of a file.
I'd love for all the coders out there to chime in.
Who said anything about multiple applications? Vegas 12 launches the trimmer if you try to type a space while changing a file name using F2 in Vegas Explorer. It's a bug. You can change the name as long as you don't use a space. Acid and Sound Forge and even old ThumbsPlus have no problem. I never noticed the problem using earlier versions.