Captain Thunder, I believe, is a trademark held by someone else.
I would just think there's a simple way to handle this. Since the Shazam franchise is about a lot of heroes joined by that word, it makes sense to call thr whole thing Shazam. Just talk with Marvel, and work some deal out that any toys or books with Cap have to refer to him as 'Capt. Marvel', and has to include the word Shazam in a font larger than 'Capt. Marvel' by at least 2 to 4 points. Done deal. Marvel can call whomever they give the name to Captain Marvel, and DC can have Capt. Marvel on products so long as Shazam is still the most prominent word on the product.