Well, I kept my maiden name when I married - 49 years with the same name and all of my identification, credit, professional history and publications in the same name -well, I didn't want to have to start over my 'identity' from scratch:-).
We get mail addressed to us by both of our names, by Mr. and Mrs. with his last name and by Mr. and Mrs. with my last name. In many cases, it is because people don't know how to address us, or that I haven't taken his name and it is convention to make sure a last name is included on addressed mail.
Your fiance's friend may have had a memory lapse with your last name even though he knows it, or maybe he thinks of you so much as a couple that it was just a "Freudian" slip. Unless it really does bother you, I would just let it be. If it does bother you, then you can maybe find a way to tease him about it in a friendly way. If he is the sweet guy you say he is, then his intent wasn't to be insulting. Our names are important, yes, but I think I would be more pleased that I received the Christmas card even if the name wasn't 'perfect'. It is the thought that counts, and I have always liked to give others the benefit of the doubt.