Nothing can be done about that. It is not an offensive name, and I in fact see you asking them to change their name as overreacting <-- Personal opinion.
So what if they named their character Satan, at least they are not out right insulting Christianity, they are not doing anything offensive. Until they start that up, then leave them alone and ignore them.
I mean, I could kindly ask someone to change their characters name from Nathan because it upsets and offends me because my Ex was a nathan and he was a cheating lying loser, but that would be over reacting and wrong, and in my opinion, it is teh same here, just like it would be offensive to ask someone to change their name from some afghanistan name because it offends you as an american, it is WRONG.