Just "Battersea Power Station". Or maybe "Battersea Power station" as TfL» documents have both, but could be typos ...
To be consistent, it should be "Battersea Power Station" station. Other stations don't have Station as part of their name, it's something you add on - perhaps as railway station or tube station. But the station name is so often used as a heading, where the added words acquire extra capitals (as in the forum's own list). And it's not something most people try hard to be logical about anyway.
Of course when it was a power station it would have been Battersea power station - but as it isn't one the extra words have to be part of the name.