I remember having learnt that Mr/ Ms... these honorifics should NOT be followed by 'first names' alone.

E.g. You can say
Ms Wallace (full name Ann Wallace) or Ms Ann Wallace BUT not Ms Wallace

However, my colleague, a well-educated native speaker of English, has time and again call others in this way. On one occasion, she called another colleague, also a native speaker of English from the UK, Ms Kate (Kate is her first name). "Ms Kate" was a bit shocked and asked 'haha did you just call me Ms Kate?'

I felt that there was something there not so obvious. Is this for humourous effect?
Are we actually allowed to say Ms Kate?