For those who have completed the gods' side quests. Ubisoft are aware of a bug and will be *hopefully* patching it soon.
EDIT: (adding info that solved it for me, and others)
I did manage to get it to pop. I found I had to actually stand on Athena's pedestal to get the 'talk' action - then the dialog for quests happened and completed. So maybe it has been fixed, or they are making it easier.
Try talking to them all again multiple times, and if the option to talk isn't there, try getting right up close on their pedestals and see if that helps
/EDIT
It seems to happen to those who complete certain tasks before the god would ask for the quest, so it either doesn't trigger, or doesn't count toward the achievement.
I have completed them all, but it didn't pop.
https://support.ubisoft.com/en-AU/Article/000094203/Unable-t...