I would agree with you about that: Sazed is, for all practical purposes, a god. He even acknowledges that he's taken up the power of one when he first takes hold of the Shards, and I believe he's referred to as a god in Alloy of Law. I do think, however, that it fits his character perfectly that he wouldn't want people to address him as such, or worship him as such, and choosing a name like Harmony and taking a more personal, informal approach to his religion are both excellent ways to accomplish that.