Very fantasy / video-gamey. The trouble is, Mage isn't like Rogue, it doesn't have any more general meaning besides an especially accomplished warlock (it has more of a "white magic" connotation than warlock too). One doesn't become a mage by heritage or character. So in that sense it seems to me like an earned epithet - like Paladin or Ninja.
So, it's not working for me as an actual first name, even just in concept.
It could work for a character, though. Say, one unfortunately nicknamed
Major for some circumstance - for example, a mean older sister calls him/her
Major, short for "major pain in the neck" and it stuck because his/her real name was something a little cringey, like
Maynard or
Maisie or
Maybelline - who was further nicknamed or self-styled Mage, maybe because of an aptitude or interest related to magic?
- mirfak