Azzarello is only cut off because he chose to alter these characters and cut them off. Aphrodite doesn't care because Azzarello wants her that way. Artemis is no more than a goon because Azzarello wants her that way. Did Hermes need* to ask for Eros' help instead of Aphrodite's when in comes to access to the forge?
* One may argue he needs the guns, but that's plot-based. I don't see why Hermes would know the plot. ;)