As of right now, there is a single mention of Sauron in the Episode 13 script. While I am not opposed to use of Sauron's name (as stated, they likely would have heard it from Gothmog when he kills Edhellos), I do think this particular usage isn't appropriate.
FINGON: It hath disappeared or flown ... or shifted. Sauron could –
Celegorm dismounts and kneels down to look at the tracks. Fingon sits on horseback just beside him.
CELEGORM: - change his form, I know. But even that would leave some trace.
Here is what is weird about this. Every single Vala and Maia in Valinor can change their shape. These are two elves of Valinor having a conversation. If they are going to reference shape-shifting, their go-to frame of reference is likely to be Yavanna or something. They have known Melkor in both his 'fair' form and his 'tyrant of Angband' form. So, while it's true that Morgoth can't change his shape any more, the elves don't even
know that, necessarily, and would still think of him as a shape-shifter. The idea that Celegorm would reply to a 'Sauron could...' prompt as if there were an obvious unique-to-Sauron ending to that sentence just seems odd.
Sauron can change his shape because he's a Maia. We're a bit early to be speculating that the creature they are following might be a Maia. They're about to get there...the lieutenant's death is the major clue. But for now, they should think they are tracking a
beast. And beasts don't shape-shift.
I am fine with them being confused that the creature they are tracking vanished without a trace. I just don't think they should be speculating that it shape-shifted. They haven't seen the creature at all - all they know about it is the destruction it left in the fort and the track it left in its wake. So, they know it's large and violent, but...not even what sort of creature it could be. Why would 'shape-shifting' be the next guess?
FINGON: It hath disappeared or flown. Surely something so large cannot simply vanish.
Celegorm dismounts and kneels down to look at the tracks. Fingon sits on horseback just beside him.
CELEGORM: But even if it were born away by wingéd creatures, that would leave some trace.
My suggestion (above) keeps their speculation in the realm of beasts.