Is there a term for the grammatical/rhetorical construction of "He-Who-Must-Not-Be-Named"?
I think it is a case of Antonomasia:
a literary term in which a descriptive phrase replaces a person’s name. Antonomasia can range from lighthearted nicknames to epic names.
The phrase antonomasia is derived from the Greek phrase antonomazein meaning “to name differently.”
Examples:
Rather than calling the dangerous man by name, all must call him “You-Know-Who” or “He-Who-Must-Not-Be-Named.” This usage of antonomasia emphasizes just how dangerous the man is, as most wizards and witches are too afraid to say his actual name aloud.
(literaryterms.net)