Foreigner's names are written in katakana, but I noticed that the middle initial is always written in romaji. I see this on business cards and in newspaper articles, when a middle initial is used.
Simply, using Latin alphabet can clearly tell us it's the initial. Also it's shorter.
- マイケル・ジェイ・フォックス → Is this ジェイ something like "Jay"?
- マイケル・J・フォックス → It's meant to be the initial!
Everyone knows how to read Latin alphabet, so there is very little drawback.