I’ve used the terms interchangably, but was never happy with either. First, what organization is he a Captain of; the Salvation Army?
And second, Shazam is the magic word representing the Gods whose power he embodies, and the name of the wizard that bestowed him with power. It’s like the continual conflation of Dr Frankenstein and the Frankenstein’s Monster.
I prefer just “Marvel” as he used to be the head of the Marvel family. (Mary Marvel; Uncle Marvel etc)