Well, the same thing happens to me here. In Malaysia, we always call our Professors as Prof, or Datuk (if he has one) but here in Denmark everyone are calling them names, their first names! It was a culture shock for me actually and I still can't help myself of calling them Prof or Sir. But for me I just call them 'Sir'. But most of the supervisors tend to be like friends to us. In that case, I have no problem of calling them names. All in all, you need to understand first the culture or environment of the country or institution you are in. But in Malaysia, if you are calling your supervisors just names you can be considered as rude huhu. But here, its not a big deal.