Mr Red, it is indubitably the case that your Welsh-familiar or speaking friends should have pronounced Caerphilly and Caerleon the way you suggest. It is also indubitably the case that, for the most part, if you pronounce the towns that way to most local inhabitants they will think you are a tourist or, at best, a Welsh speaker or learner.
I grew up on a street called Bryngwyn Road (easy enough as long as you don't panic at the lack of English vowels), near a street called Rhydepenau ..locally always Reeduhpinner, correctly somewhat different. These days, living as we do in Monmouthshire (not normally pronounced Munmuth although I suppose some people might) we try to make educated guesses as to whether it's the Cluther or the Cleyether gorge (it's written Clytha and strictly speaking should be Clutha) and I've learnt by working there that Mamhilad (should be Mamhillad) is in fact Mameyelad. But again, if I'm talking to Welsh speakers or fellow learners, I know to follow the rule book.
My late father-in-law had no truck with any suggestion of Welsh pronunciation, however, despite being married to someone with Welsh speaking family, and insisted it was Landudno in North Wales and, I believe, even Lanelly (instead of LLaneLLi, where LL makes the sound it's very hard to transliterate).
However, to digress from place names, my niece went to Welsh medium school (and is in the process of doing her A levels). Her early writing efforts all bore the traces of being taught in Welsh. "Jac and the binstoc. Jac met a jaeant and it was not fe... bwm bwm went the paerats' guns."