I wouldn't like this. Being referred to "Shepard" and "Commander" or even "Spectre" was fine by me, but being called, say, "John" all the time would ruin the immersion for me.
I don't think anyone would want their character to be referred to by the first name all the time. Obviously in certain circumstances Commander would be more appropriate, like for example if being addressed by junior military personnel who aren't involved in romancing the protagonist. There are other circumstances where the last name (or the rank & last name) combo would be a better fit. And last names work fine with friends. It isn't unusual at all for friends to use each other's last name, particularly among men.
If a first name was going to be used in dialogue it shiould only be during with characters who have a close relationship with the protagonist, and in an appropriate setting. During the Shepard trilogy at most that would been the final romance scenes and maybe the chats with Spacer Shep's mother.