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I remember in the 1960's hearing a programme announcement for a concert by André Previn. The announcer pronounced the name Anndray Previnn. "No, no!" I say, and pronounce the name as if it was French. Up pops André Previn to introduce the programme: "Hello; my name is Anndray Previnn."
I'm all in favour of pronouncing foreign words as if they were English. Even if you know the language in question yourself, it's not certain that your interlocutor will.

By Englishing your words, you at least ensure that you'll be understood; and you don't put the other person in the embarrassing position of having to admit that he didn't quite understand your perfect pronunciation of "Antoine de Saint-Exupéry" or "El ingenioso hidalgo Don Quijote de la Mancha" or "Giuliano Giannichedda" (happily, "Johnny Cheddar" to some commentators).

Then too, when English people go from "guttural native mumble" to "mobile foreign mouth mode", it can involve quite a bit of spit and gurning. Very off-putting. Give me "Don Jew-un" and "Don Quicks-ut" every time.

Students: Are you brave enough to let our tutors analyse your pronunciation?
It is considered uncivilised and impolite not to even try to pronounce them correctly.
Same here. I've heard quite a lot of complaints about how TV sports commentators "butcher" foreign names.

It gets more confusing if the commentator tries to pronounce the foreign names correctly when interviewing the athlete in question but revert to the Anglicized pronunciation when addressing the audience. I think commentators should try to pronounce the names correctly so we audience can learn a little something about foreign pronunciation.

That being said, I have no problem with saying "Kung Po Chicken" without the Chinese tone when I eat out with my American friends. :-)