It's just lazy iconography, none of these bands actually worship Satan. Hell, even the Norwegian black metal bands moved on to the Norse gods after a couple years. There's virtually no music out there made by people who genuinely worship Satan.
Conspiracy theories are a complete no go for me. They're sexy and seductive but they never stand up to a modicum of proper scrutiny.
As for what I would think if my favorite bands worshipped Satan... that depends on the specifics. LaVeyan Satanism is lamer than the lamest lame, it's the Boy Scouts doing Yoga and calling it Satanism. On the other hand, real Satanism where you rape and kill people, that's utterly deplorable, and I would be devastated if my favorite bands did that (other than Burzum who already has).
Now if they were to find a middle ground... and worship Satan as a counterpoint to the totalitarian cruelty of our uncaring, unrighteous God, but without the overwhelming hokiness of Anton LaVey, I'd be perfectly happy with my favorite bands being into that.