Why didn't Shojo just send his wizard to fetch the order?

[The Pilgrim]

Yes, but not with the message you propose.
How about you imagine this one instead:

Xykon alive. Entire world in danger. In contact with your father. Bring party to Azure city immediately for further information and assistance. Signed, Lord Shojo.

Problems:

1) The Paladins seem to already know that the Order was responsible for blowing up Dorukan's. They will want to bring the Order to Justice.

2) Shojo needs to make Roy stand trial, in order to have a legitimate reason to reveal him the Secret Lore of the Sapphire Guard. Sure, he can tell him anyway in secret, but the Paladins wouldn't like that if they happen to hear about it. For Shojo, it is best to play it safe and conduct his mock trial plan.

3) If Shojo reveals the true identity of his summoned "Deva", the chances he can rig the Trial are slim.

4) As Grey Wolf suggested, Roy wouldn't be particulary moved to go to Azure City on the information that his father is there. If anything, such reveal would lure Roy to move as far away as possible from there.