Just my thoughts on itI doubt there is a definitive answer that would satisfy everyone, and doubt that it is worth he effort to try to clarify in any great detail.

In some cases it is probably appropriate, and actually used just like a surname (in a legitimate but different, broader sense than that used by our surname article, and including patronymics in Iceland or elsewhere) by the person.  That's probably especially true of radio personalities with an on-air name that is actually two given names but sounds like a given name and a last name (I've seen that happen quite often), and that happens with various other stage names and pen names that are derived from given names.  But as a general rule, no. Some like Ann-Margret make it clear by normally using a hyphen. The problem, of course, is that our articles, especially the stubs and sub-stubs, often do not have enough information to make it clear what is going on.  If it is "Mary Lou"  or something of the sort, common combinations of given names where the second one is much rarer as a surname, especially if it includes the actual surname in the article itself, it should clearly be under M in any category (the redirect which should be there, or a dummy one if needed because otherwise it would be a disambiguation page, could be categorized if the full name were desired in some categories, and when that is done a note on the article page is helpful).  But in between, there is a huge variety that you'll likely get some arguments about no matter how it is done.

A bigger problem is people with full names given in the article name yet indexed under just the first given name in all categories, and there are lots of them. Even worse are those Easter egg sortings under some nickname which doesn't even appear in the article's own name.