There are a number of journal articles about his poetry that refer to him as Shahid. So I’m not sure there is a standard. I gather (and I may be wrong) that Agha is a familial honorific, and that Shahid was what his friends addressed him as.
I just don’t want to unthinkingly impose a Western naming convention where it isn’t appropriate. But, barring authoritative info on Kashmiri naming practices, I’ll probably go with Ali, though, as that’s how he is catalogued in bibliographies.