The present perfect denotes completed action from the reference point of right now; the past perfect denotes completed action from a reference point in the past. When you say 'I have never heard of such a name," you mean before right now, when you met Wazoo. " Your reference point is still the time you met Wazoo, but it's a day later, and that point is now in the past.
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AnonymousMy teacher told me that in #2 the reply should be "I had never heard", because it is in the negative.No, both are fine. Some might argue that 'had' should be used because the other person has just said the name, but that is nit-picking and not likely to occur to a native speaker, who would say 'have/haven't'.