Sol is from the Romans therefore Latin I presume.
Helios is Greek.
But since Latin and Greek existed before English and plenty of English came from Latin and Greek...
It is just a matter of how we use the words. In sci-fi stories with people traveling to different star systems it makes sense that they would use a name for our sun since every star is a sun, but as long as we are stuck on this miserable planet I guess it doesn't matter much.
We will have to catch one of those aliens and ask them what they call it.