I thought I read somewhere there was once a Prince Charles of Luxembourg. He was the son of the Grand Duchess Charlotte. Maybe that was the person they had in mind for the baby's name.
So the reasons for the names are presumably as follows: Charles (for GDss Charlotte) Jean (GD Jean) Philippe (HGDss Stephanie's father) Joseph (for GDss Josephine Charlotte) Marie (for the Virgin Mary) Guillaume (for the HGD). No Henri -- is this surprising?
Well yes, this is nothing unusual: all changes of law have limitations of application. In Sweden, the succession is fully cognatic primogeniture, but the line is restricted to the current king's descendants; in Denmark, it's cognatic, but limited to the descendants of King Christian X; in Norway, it's cognatic, but limited to the descendants of the current king. The Salic law continues to apply to the other lines of descent from these royal houses.
There are no junior branches of the Royal Houses of Sweden and Norway, so Salic law is not applicable for anyone. The only junior branch of the Royal House of Denmark that I can think of is the Royal House of Denmark. (The Norwegian Royal House renounced their rights in 1905.)
In Belgium, cognatic applies to only the descendants of King Albert II. Other lines of descent have succession rights, but the Salic law applies to them. However, there are at present no male-line descendants of King Leopold I who are not also descended from Albert II. In the UK, it applies only to the generation of the queen's great-grandchildren.
But almost all changes had retroactive consequences: in Sweden, it wasn't supposed to, but Prince Carl Philip happened to be born between the two sessions of Parliament (the first vote was passed several months before his birth). In Denmark, it was male-preferred primogeniture in 1953 which displaced the heir-presumptive (Prince Knud) in the succession. In Norway, exceptions to fully cognatic had to be made for the children of Harald V, since both were already in their teens when the law changed: accordingly, male-preferred primogeniture applies to them. In the UK, the law was made retroactive to persons born after 2011 (I forget the exact date). Accordingly, the order of succession for the grandchildren of the Duke of Gloucester got changed.
In Belgium, Princess Astrid and her children displaced her younger brother, Prince Laurent, in the succession: in fact, the desire for this was the whole reason why fully cognatic primogeniture got approved.
And in Luxembourg, Princess Alexandra displaced her younger brother, Prince Sebastian. But unless you're the heir, you don't have any real change of succeeding, anyway. Sebastian doesn't really have a much better chance of inheriting the throne than the male-line descendants of Princess Sophie (1902-1941).
Only in the Netherlands have changes of succession law not had any retroactive consequences.
The Luxembourg succession is a bit different than most. The full primogeniture rules only apply to the descendants of the current Grand Duke.
After them the line is for the male line descendants of his father, his grandmother and of his great-aunts who were made equal to male dynasts by Guillaume IV before Henri's niece and sisters could succeed.