BS”D
The Sefardi community does not have any connection with the old Lipa impersonator (well, more like Michoel Schnitzler as far as weight and age are concerned but the clothing is pure Lipa) who wears a red bekeshe. Even I, living in a part of the world where the Lipa impersonator is called Father Frost, did not make the connection between the name Nicole and this season.
The real problematic French name common among Jews is Nathalie which is a reference to krachtzmas and comes from the same Latin root as nitel – again these names entered via communities in the Islamic world where no one thinks of these things.
The Lubavitcher Rebbe ZYA did encourage French speaking BT’s to change their names (he himself lived in France and was aware of the origins of these names). However, naming for a relative is very powerful and it is very understandable why these names are not changed.