Right before the battle with Hojo he says "What will Sephiroth think when he finds out that I'm his father?" So at least for most of his life Sephiroth didn't know. Now as for whether or not he found out after his fall in the Lifestream who knows. So I'm sticking with he doesn't have Hojo's last name.
Or Hojo thinks that Sephiroth doesn't know.
This IS the man who thought to crossbreed two speciment from different genera by bog standard sex, after all.
And no. He will NEVER live that down.
I agree with Ryu that it's most likely he doesn't have one at all. They do call him General Sephiroth, although considering Professor Gast that might not mean anything.
This point and Force's about it making for a better first name remind me Faremis is a spanish first name.
Also, Garrus himself nearly had a hyphenated name. Fortunately, his mother, like mine, was merciful and so Calibrating is his middle name.