There's no correct way to translate it. This is very similar to how Japanese honorific is translated, such as -chan, -sama, -kun.
The more accurate translation of her addressing Xie Xun would be Xie-xia. Where xia means hero.
Translating it as Hero Xie is a simpler way to make it easily understandable for non-Chinese speaking readers. Other examples would be Mister or Miss etc. When we address someone this way, we usually commonly use their family name, such as Mister Smith. We would use Mister John Smith in cases where we need to specify which Mister Smith we are referring two, such as when there are two Mister Smith present.
Likewise, the right way would be to address Yang Xiao as Hero Yang, because when we address someone respectfully we avoid addressing their full name.