Baby names

Best not. It doesn't sound as if they know and if they do, then they aren't too bothered.
Perhaps he will have a nickname in the not too distant future.

Say nothing directly.

Maybe in casual conversation you could talk about the programme and say something like
" How evil is that .......... ( name) Isn't he a nasty piece of work? "

Some names by association lose their charm, but I think this is the only way you could bring their chosen name up.

The baby's name has to be their choice.

Theres so many films/programmes etc etc nowadays probably everyone’s name is used fir a baddie somewhere in the media.

The series you watch will come and go and nobody will remember anything about it.