Soooo, there are multiple problems.

The fisrst is that SFG doesn't seem to be able to read files in PAK packages. Since the shader includes are in EngineShaders.pak, it won't be able to find any of them. (Also, SFG discards the output of the D3D shader compiler so there is no way to determine what the problem is ...)
Code
(1,10-42): error X1507: failed to open source file: 'Shaders/DX11/CommonHelpers.shdh'


The second issue is that the .shdh files in EngineShaders.pak are LZ4 compressed. When SFG compiles a shader it'll hand over #include'd files directly to the D3D compiler without first decompressing them, which makes the D3D compiler quite grumpy.
Code
Shaders/DX11/CommonHelpers.shdh(1,1): error X3000: unrecognized identifier 'B'
Shaders/DX11/CommonHelpers.shdh(2,8): error X1500: syntax error : unexpected token ''
Shaders/DX11/CommonHelpers.shdh(5,16): error X1006: string continues past end of file


After fixing these 2 issues shader generation worked properly both in the editor and directly by calling SFG.