To most people it’s not an interchange if you have to leave the station, particularly if that means walking the streets of an unfamiliar urban area.
It's really not far, and the new traffic lights and the western ticket hall on Thameslink further reduces the walk.
I do get that it might not immediately jump out as an interchange for people thinking in their head how to get somewhere, but route planners will offer it - and that likely helps.
Regular travellers will have always known, just as people used to shortcut from Farringdon to Blackfriars by Thameslink than use the circle line, long before it returned to tube maps.
Maybe put up more signs, like the walking route from Euston to St Pancras, on lampposts or markings on the pavement, if necessary - although I think signage is already good. There really aren't any opportunities to take a wrong turn.
You know that, but to out of towners it is wandering down the streets of outer London, and nothing like as acceptable as an in station interchange.
Does it come up as an interchange on journey planners?
If they think that people are getting stabbed/shot all the time, will they even dare venture onto a train? With no onboard staff, surely the train is more dangerous* than the streets? I bet many shops and takeaways are 24 hours there, so it will always be busy enough that you're not going to encounter any issues on a short walk at street level.
* Relatively speaking, but in reality the risk is tiny for anywhere - given most attacks are not random. Street robberies must be
way down now people rarely carry cash and a mobile has limited value.