The global rename denylist was created to stop frivolous global rename requests. The issue is that it can be easily workarounded, by making request via email, or in local queues. I think we should check it in Special:GlobalRenameUser as well, and block any rename in case a match happens.
I advice against putting a checkbox to overrule the denylist, because if a user was listed there, then renaming them will always mean also removing from the deny list.