Then why do some Baha'is refer to him as He and Him?
It's a term of respect. His station was higher than Shoghi Effendi. Here's what Shoghi Effendi said, and notice that Shoghi Effendi used He when referring to Abdu'l-Baha:
That 'Abdu'l-Bahá is not a Manifestation of God, that, though the successor of His Father, He does not occupy a cognate station, that no one else except the Báb and Bahá'u'lláh can ever lay claim to such a station before the expiration of a full thousand years -- are verities which lie embedded in the specific utterances of both the Founder of our Faith and the Interpreter of His teachings....
'Abdu'l-Bahá's own statements, in confirmation of this warning, are no less emphatic and binding: "This is," He declares, "my firm, my unshakable conviction, the essence of my unconcealed and explicit belief -- a conviction and belief which the denizens of the Abha Kingdom fully share: The Blessed Beauty is the Sun of Truth, and His light the light of truth. The Báb is likewise the Sun of Truth, and His light the light of truth... My station is the station of servitude -- a servitude which is complete, pure and real, firmly established, enduring, obvious, explicitly revealed and subject to no interpretation whatever... I am the Interpreter of the Word of God; such is my interpretation."
Does not 'Abdu'l-Bahá in His own Will -- in a tone and language that might well confound the most inveterate among the breakers of His Father's Covenant -- rob of their chief weapon those who so long and so persistently had striven to impute to Him the charge of having tacitly claimed a station equal, if not superior, to that of Bahá'u'lláh? "The foundation of the belief of the people of Baha is this," thus proclaims one of the weightiest passages of that last document left to voice in perpetuity the directions and wishes of a departed Master, "His Holiness the Exalted One (the Bab) is the Manifestation of the unity and oneness of God and the Forerunner of the Ancient Beauty. His Holiness the Abha Beauty (Bahá'u'lláh) (may my life be a sacrifice for His steadfast friends) is the supreme Manifestation of God and the Day-Spring of His most divine Essence. All others are servants unto Him and do His bidding."...
He is, and should for all time be regarded, first and foremost, as the Center and Pivot of Bahá'u'lláh's peerless and all-enfolding Covenant, His most exalted handiwork, the stainless Mirror of His light, the perfect Exemplar of His teachings, the unerring Interpreter of His Word, the embodiment of every Bahá'í ideal, the incarnation of every Bahá'í virtue, the Most Mighty Branch sprung from the Ancient Root, the Limb of the Law of God, the Being "round Whom all names revolve," the Mainspring of the Oneness of Humanity, the Ensign of the Most Great Peace, the Moon of the Central Orb of this most holy Dispensation -- styles and titles that are implicit and find their truest, their highest and fairest expression in the magic name 'Abdu'l-Bahá. He is, above and beyond these appellations, the "Mystery of God" -- an expression by which Bahá'u'lláh Himself has chosen to designate Him, and which, while it does not by any means justify us to assign to Him the station of Prophethood, indicates how in the person of 'Abdu'l-Bahá the incompatible characteristics of a human nature and superhuman knowledge and perfection have been blended and are completely harmonized.
(Shoghi Effendi, The World Order of Baha'u'llah, p. 133)
No Guardian of the Faith, I feel it my solemn duty to place on record, can ever claim to be the perfect exemplar of the teachings of Bahá'u'lláh or the stainless mirror that reflects His light. Though overshadowed by the unfailing, the unerring protection of Bahá'u'lláh and of the Báb, and however much he may share with 'Abdu'l-Bahá the right and obligation to interpret the Bahá'í teachings, he remains essentially human and cannot, if he wishes to remain faithful to his trust, arrogate to himself, under any pretense whatsoever, the rights, the privileges and prerogatives which Bahá'u'lláh has chosen to confer upon His Son.
(Shoghi Effendi, The World Order of Baha'u'llah, p. 151)