You wanted something deeper? Okay.
The singer makes a big deal out of the listener guessing his name. Late in the song, he says “call me Lucifer”.
But notice he doesn’t say his name actually is Lucifer. And even after he tells the listener to call him that, he still makes a point about the listener guessing his name.
So here’s a possibility; the singer isn’t Satan. He’s God. It was God not Satan who did all the violent things the singer describes. The listener is supposed to understand this and realize it’s God not Satan who causes evil to happen in the world. Satan aka the Devil is just a being that God has arranged to take the blame for things that God does. So understanding the nature of God’s game is what puzzles the listener.