well...

First, you are correct in that he should technically be called "Lord Shelbourne". However, there are many reasons why he might not be called that. He might be using a courtesy title that he was commonly refered by before he succeeded to the hereditary earldom of Shelbourne (and I believe he was a Marquess as well) - for example, Robert Stewart, 2nd Marquess of Londonderry was known as "Viscount Castlereagh" even after he became Marquess of Londonderry. Similarly, while his father was Earl of Shelbourne, he would have been referred to as "The Lord John Marbury" (if the Earldom of Shelbourne had no courtesy titles), or perhaps as Baron/Viscount Marbury (if those were courtesy titles of that earldom). Simply put, many sons of peers were known as "Lord *surname*", simply because that's how they were styled for most of their lives.

Second, Margaret Thatcher isn't "Baroness of Kestevan", she's "Baroness Thatcher", of County Kestevan (never used). Some barons/baronesses have territorial designations, for example "Lord Falconer of Thoroton", but Lady Thatcher does not. Only those which would cause substantial confusion carry a territorial designation. For example, if someone named "Jane Thatcher" became a peer, she'd probably be "Baroness Thatcher of Someplace", because it'd be confusing to have two people named "Baroness Thatcher".

More Marbury

The US press frequently gets it wrong, too: former Foreign Secretary Lord Owen was called "Lord David Owen." But he refers to himself as Lord John Marbury, which would mean he is the younger son of a duke or marquis. The only plausible ways I can think of that he could be both Lord John Marbury and Earl of Shelbourne is: a) he is the younger son of a duke or marquis, b) he inherited the earldom from his mother or through a special remainder like the Earl of Selkirk, and he then disclaimed the peerage. Those cases are so extraordinary that it's most likely from the ignorance of the writers concerning the styles of British nobility. While it's not typical that an earl's title matches his surname, there are several instances (Earl of Home, Earl Spencer). Most life peers take their surname (or surname of placename) as their titles, but there's no rule that they must.