From your link:
You only have to run this code once. Once you have uploaded it and run it once, do the following:
Re-run your Bluetooth setup process in order for your computer to detect the module's new name.
Upload new code that does not include the configuration commands.
The first part of this says that you need to smack the PC around to make it take note of the changes made on the Arduino end. Are you expecting that the Arduino is going to be capable of smacking your PC around? I hope not.
The second part says that the loaded sketch does nothing but change the BT attributes. If you want a sketch that does this AND something else, I don't see why you can't do that.