Well, Dorje Shugden means Vajra/Adamantine Powerful Strength and you wouldn't believe it who gave him his name. It was Nechung according to Kyabje Trijang Rinpoche's Music Delighting An Ocean of Conquerors. Here's the excerpt from this text. :-
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!
Thank you Big Uncle for your insightful explanation. Also I have heard the Vajra is like thunder which is used to cut away ignorance and to subdue evil forces and energies. Hence we usually see wrathful tantric deities holding a Vajra. "Vajra Possessing Strength"
With deep faith I prostrate to you, Vajradhara Dorje Shugden.
Although you have already attained the Buddha-ground
and engage in the twenty-seven deeds of a Buddha,
you appear in various forms to help the Buddhadharma and sentient beings.
You have manifested in different aspects as Indian and Tibetan Masters,
such as Manjushri, Mahasiddha Biwawa, Sakya Pandita, Butön Rinchen Drub, Duldzin Dragpa Gyaltsän, Panchen Sönam Dragpa, and many others.
(Tagpo Rinpoche)
Pabongka Dechen Nyingpo’s View on Nature and Origin of Gyalchen Dorje ShugdenSome see this supreme deity, Emanated Gyalchen, as not different from an ordinary monk spirit or king spirit, a priest or monk who has died and taken a spirit body out of negative karma, and proclaiming this in a loud voice, make fun of not only the deity but of others who rely on him also; there seem to be many as well as a great many who, following their lead, hold very tightly to this mistaken view. They are speaking just out of supposition without really understanding the source.
This very dharma protecting ‘gyelpo’ is reknowned as the unmistaken emanation of Tulku Dragpa Gyaltsen and Tulku Dragpa Gyaltsen was the unmistaken succeding incarnation of Panchen Sônam Dragpa and Je Dültzin (Lord of Vinaya Holders) Dragpa Gyaltsen.
Thus, those great beings were great elder holders of the vinaya who did not transgress even the slightest rule of the Buddha and were great beings who cherished others more than themselves. They were great lords of masters who reigned over the ocean-like treatises of sutra and tantra as well as the ordinary sciences.
That they were great lords of siddhas who perfected the supreme realization of tantra’s two stages is well proven and known to all. For that very being to arise in the body of a wrathful deity is the mere display of a form for a very special purpose through the power of compassion and prayers and for him, rather, to have taken birth, like other ordinary beings, out of evil karma as a sky-walking preta; how would that be possible?
If one says that he was born like that then it would follow that one meets with karma uncommitted by oneself or that deeds done are wasted, etc., so one would be expounding falsity of the law of causality, etc., which would be the worst kind of nihilistic view.
Furthermore, Lord Dültzin Dragpa Gyaltsen was fully established to be the emanation of the omniscient Bütön and Lord Bütön was fully reknowned beyond dispute, based on many valid scriptural and biographical source books, as the succeeding incarnation of the lineage including Manjusri, the mahasiddha Birwapa, and Sakya Pandita.
Therefore, to think that the succeeding incarnation of those great pandits and siddhas, who were as reknowned throughout India and Tibet as the sun and the moon, could take birth in the low evil body of an actual preta and to propound such is a misconception slandering those great beings and the cause of an unbearable unfortunate rebirth. So everyone should be careful in such matters.
Furthermore, the story of how Nechung, the Emanated Dharma King, Great Dorje Dragden, again and again urged Panchen Sônam Dragpa to arise in the form of a protector uncommon to the Gelugpa by not abandoning his promise and mind generation of previous incarnations is in his biography.
Again, it is suitable to worship because, as is said in many valid sutras and commentaries, even animals who are emanations of the Tathagatas such as ‘Ru Ru’, the golden stag, are a supreme field of worship; this is similar.
Thus, this very great Dharmapala is established without doubt to be peaceful and wrathful Manjusri himself arisen in the form of a terrifying wrathful one (dregpa) in order to protect one’s teachings.
Therefore, wherever there is stainless teaching and practice of the Geden he guards and protects without dependence upon his being relied upon or worshiped.[/b]
http://www.dorjeshugden.com/all-articles/features/lineage/