It's mainly the psychological/cultural baggage that comes with it.
"Satan" is now synonymous with everything evil, including pedophilia, murder, weird blood cults, ect. Cults like the O9A help prop up this image of "Satan" and "Satanism". This baggage has been leaped up on the name of "Satan" for thousands of years thanks to xianity and islam. Even jews now get called "Satan", "Satanists", Israel being called the "little Satan" or "Satanyahu", "Synagouge of Satan" ect for all their evil deeds.
The name Satan isn't evil at all however, it comes from Satanama, meaning eternal truth. But if something gets associated with evil for so long, it becomes synonymous with it over time in the minds of the people.
Zeus on the other hand is associated with might, kingship, King of the Gods. It has far less baggage associated with it. You don't automatically subconciously think of evil things when hearing the name Zeus, as opposed to Satan. There's also an energetic aspect to all this. The name "Satan" gets cursed daily, and has been cursed for thousands of years. Imagine billions daily pouring negative thougths and feelings towards the name "Satan", this has an effect on the mass mind towards the word.
This isn't happening to the name Zeus. This helps newcomers to the site not have a negative stigma when looking at the name of the organisation.
There's more reasons towards the change but what I explained is part of it. You should see HPHC's sermons on the subject, there are other occult reasons for the change as well.