About as much sense at it makes to call him "Shazam" instead of Captain Marvel. How the heck can he introduce himself without changing back to Billy? (Although Captain Marvel, Jr. has long had the same problem, since he transforms when he says "Captain Marvel.")
Captain Marvel is one of my favorite heroes, but DC has just ruined him. Its weird, because I should want to see my favorite DC hero get attention, but I don't like Shazam at all. I like Capain Marvel, and he's not really around anymore, just an imposter with a slightly similar costume.
Also, they got around the CM jr name thing in the old DCU by having him call himself CM3 and in the New 52 they just call him King Marvel.