Can I use 'should' for obligations in the past?

For example, can I say:

My manager said if Mr. Smith arrived late, I should call her immediately.

Clearly, I cannot use "should have called" here as it implies that I didn't call at all, which is not what I mean.

So, do I need to change "should" to "had to" or "was supposed to" or is it fine to use "should" here?

Thank you.