He might want to go after the ones that are actually labeled as gods. Wanda, Captain Marvel and Black Bolt aren't exactly revered as gods, despite their power set.

Wasn't Wanda worshipped too and wasn't Wundagore her temple-fortress ?

Scarlet Witch wasn't a god so much as a prophesied threat. Chthon who originally wrote the Darkhold is an elder god so Gorr might want to kill him but Wanda is just a pawn