You can unlock Shazam while playing thourgh the story for the first time.
Shazam can be found in Space suits you, Sir!
Step on the red blocks in the first VR level to produce a glowing box in the upper left corner. Interact with it to collect the character token.
Then, buy Shazam and hold Y or Triangule to turn into Billy Batson, then hold the same button again to revert back to Shazam