Mostly because Odyn essentially created the monstrosity that Helya became by enslaving her as the first of his Val'kyr against her wishes. This occurred in the distant past when Odyn disagreed with the other Keepers concerning the appointment of the Dragon Aspects as Azeroth's evolutionary monitors and protectors, and decided to create his own army of Valarjar and Val'kyr to serve in that capacity. Helya was freed and/or corrupted by Loken, and then turned against Odyn and locked him and his army inside the Halls of Valor until we free him several millennia later.
Odyn's personality also has some troublesome quirks, and so a lot of people don't trust him.