"Fanny" has a naughtier connotation in the UK than in the US, though.
Here it means butt, whereas in the UK it means female privates.
Maybe they changed the name more because it's awkward than because of various connotations?
Wiki says it was originally going to be "Shrek Goes Fourth" but they changed the name to "SFA" in May 2009.
However, it appears that it ran as "Shrek: The Final Chapter" in some territories - maybe in those areas they changed the title late in the game?