Nope, nuthin wrong. But you have to admit Satan does carry a pretty darn negative connotation to a large portion of society.

I have read before that you don't pronouce it that way, but i always have an image in my head of a little kid forever correcting people about the pronunciation of his name and convincing people he was NOT named after the devil.
People just get kind of taken aback for a moment, but nothing against you or your child.
Besides, with a name like that you just can't beat the instant 'intimidation factor' he'll have in high school. No other kid will *ever* mess with him.