I have seen seen this problem posted on other forums, but have not experienced it myself.
The general consensus from other topics regarding this seems to be that you have to put your SIM card in another phone and edit the number manually, as there doesn't seem to be a way to do it on the Hero.
Just as an example, if you have access to a Sony Ericsson phone, put the SIM in there then-
Phonebook
Options
Special numbers
My numbers
Mobile
Then edit the number there to the correct one. When you put the SIM back in your Hero, the correct number SHOULD be displayed.
There may be an easier way to do this, but that should work as long as you have access to another phone.

 

So it's somehow remembering the original number assigned to the SIM, ignoring the new ported one? I had a similar issue when moving to the Hero (Orange contract upgrade but new SIM), and it corrected itself within a few hours.