Both "shire" and "dale" have been used by themselves since the words were formed. Many of the x-shire names were originally "The Shire of X), or X Shire - two words that blended together over generations, just like Charles Town eventually became "Charleston".
"Icewind Dale should be only one word" has even less support - there's several towns existing to this day that follow the same format - such as Darley Dale.