There is good reason for the Dutch transliteration. Compare English, where /ʃ/ is a very common phoneme, but due to deriving the alphabet from Latin (which had no /ʃ/), there is no letter for it.
People are taught that the sound is spelled "sh", but that's not quite true:
mission
contrition
sure
And as all of those examples illustrate, in addition to being a phoneme in its own right, [ʃ] is also the English allophonic reduction of the sound sequence /sj/. It's not a coincidence that "sj" is the standard Dutch spelling of the same sound. The English standard orthographical equivalent, "borshch", is less accurate than the Dutch is.
It's very interesting to compare people's view of /ʃ/ with /ʒ/, another perfectly normal native English phoneme, but one that most people insist is foreign and hard to pronounce. The only difference I see is that a standard American education covers the idea that /ʃ/ is a real sound and should be spelled "sh", while /ʒ/ is generally not mentioned. But of course the existence of the sound is not actually related to whether your teacher mentioned it in elementary school.