Holo is its appropriate translation, whereas Horo would be the name spelled in romaji. Calling her Horo is a bit like calling someone named Alice "Arisu", since the setting is non-Japanese and uses European names.
The entire ordeal was created by a fansubber who inappropriately translated the name, and now a good bit of people continue to follow it, despite not being canon.
Nonetheless, because of the setting's story and the official position, I adhere to the English spelling since it is intended to be an English (or at least European) name. Also to remain consistent; after all, I haven't seen anyone call Kraft Lawrence "Kurafuto Rorensu", which is just plain silly. It has everything to do with my fixation with proper grammar. I couldn't care less what other people call her.