I was going to make a joke here, like - because it would be weird for parents to be sitting around, chatting over coffee, saying things like "Let me tell you, we had a real challenge when it came to potty training Jesus." Or "We had to ground Jesus for a week for putting a dent in the car ..." And it is amusing to think about, but then I can't answer why Mohammed's followers don't think it's weird or amusing when their kids are named after the prophet. Or why Spanish speakers don't think it's strange.
It does just seem kind of weird in English, though. Maybe it's just a kind of an inexplicable hangup of anglophone westerners. Just a kind of a custom without a real reason, or something lost to the mists of time, or some confluence of many different reasons. The way we can't explain why it's OK to say "A big, red balloon" but not "A red, big balloon".