The last time he was called Captain Marvel was back in Young Justice (So... 2011-ish?). He's been Shazam ever since.
As i recall, at 1st they made him replace the wizard, and had Freddie try to take over the mantle by proving himself to the gods of magic or something.
It was only after New 52 that they switched the name while letting him be the main character.
And i just checked, N52 was 2011... jeez.
Didn't they start calling him Shazam over the last couple of years?
Yup, but Marvel had the TM since the '70s, when the Fawcett one expired.
And, since they couldn't use the name on comic covers, some people apparently got confused and though his name was Shazam! IMO they could have avoided that by calling it Whizz Comics, or Adventure Comics, or something... it worked for Action and Detective...