Hello Fek
It is nice when certificates prove what think is the story - so much nicer than spending money to find you are following the wrong path

My thought would be that he simply took on the name of his step-father, as he was very young when his father died - perhaps on the death certificate the family thought they should use both names, but decided they didn't need both for the burial. By the time of his marriage, he definitely was using both names and the registry is unsure how to index him as there are
8 index records for the marriage. It is to Ethel in 1939 - as you thought - and the surname is probably GOUGE-MERRALL
Presumably the young Sydney died before his mother remarried, so his name would not have changed.
http://www.bdm.nsw.gov.au/cgi-bin/Index/IndexingOrder.cgi/search?event=marriagesThere should information online about when formal adoptions started in NSW but at the minute I can't find it.
Trish
Re the immigration - If he arrived into NSW there may be information at the State records, but I haven't seen any that late online as yet. You could look at their website for details of what immigration is available for that time period.
They do have an index to ships arriving 1837-1925, so there may be shipping lists for your time period - but the passengers may not be indexed.
http://www.records.nsw.gov.au/Trish