Apparently humans were quick to relate satellites of other planets to our moon, but didn't think those thousands of dots in the sky could be anything like our big yellow ball.
That's mostly because the satelites of other bodies became observable after we figured out the relation of the moon to the earth. They saw that the behavior was the same, and therefore these bodies were called the "moons of Jupiter", as in "bodies that are to Jupiter what the Moon is to the Earth, therefore his moons".
There's also the little complication that "Moon" and "Month" are identical words in many languages, what with one clearly being derived from the other...
The sun and the stars, on the other hand, were both observable for as long as there was anyone to observe them,and since the nature of either was completely unknown, it is only natural that every single culture had two different terms for them. For that matter, it took a sweet while until the distinction between stars and planets was made, and that too was only a descriptor of their behavior, not their nature: Planetes means "wanderers", so in the beginning they simply noticed that there were stars that move, and stars that don't, and gave the ones that moved another name, still thinking they were essentially the same, just that the majority was damn lazy.
