Extracted from 'Music Delighting An Ocean Of Protectors' pg 108
It would appear that the name, 'Dorje Shugden Tsel', Mighty Dorje Shugden, was also given by the Great Dharma King Nechung. As said in the Sakya edition of the wrathful torma ritual for Shugden that Sachen Kunga Lodro composed,
As for this method, there was an incarnate Lama contemporary with the Great Fifth Dalai Lama by the name of Tulku who was renowned to be the incarnation of Panchen Sonam Dragpa who had broad eyes of wisdom in upholding the teachings. Others became jealous of his activities. He died because of sudden bad circumstances, during a moment of unhappiness, and because of the bad passing, for about one month, sounds such as that of being squeezed came out of the silver reliquary stupas into which his relics had been placed. Therefore, the relics were removed and his house was destroyed. The wood was thrown into the river and came to the White Spring of Dol. They remained there so that the damsi, the commitment spirit, became widely renowned as Dol Gyal, the King of Dol. He escaped from among many who sought to suppress, burn, and expel him, even showing signs in some cases. Whether he was a pure king spirit or the risen deceased, when there was nothing else to do about it but include him in the legacy, the Great Dharmapala Nechung said,
'No one can compete with him! He is the one called Dorje Shugden Tsel, The Mighty One Endowed With Vajra Strength!'
Thinking about the name he used, 'Dorje', Vajra, as in the context of Vajrayana, we can infer that he does not seem to be a protector that was bound to oath and named by glorious Hayagriva or Guru Rinpoche. Scholars and yogis, please check!