Either way, you have to use Chinese names for this step because English/romanized names aren’t allowed. They’re fine with EZWay itself (for non-Taiwanese/Chinese/Hong Kong/Macao citizens), but not for Shopee. It won’t let you link your Shopee profile to an EZWay profile without a Chinese name. See also this thread:
If you’re not Taiwanese, it looks like you’ve registered as Taiwanese on Shopee.