Interesting!
Well, when Legolas first clocks that the old man is Gandalf, he cries "Mithrandir! Mithrandir!". But I guess Legolas doesn't know about Gandalf's new appointment, even though it should be painfully obvious, given Tolkien's description of how white and blinding he was when he tore open his rags. Nevertheless, I guess with Legolas' shock, he didn't take time in his head to call Gandalf 'The White Pilgrim' instead, I expect the observation and thus change weren't so prevalent upon his mind, given the surprise.
I can't recall any Elves calling him that after that, but that's simply because I can't remember.
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