Nobody knew exactly how the Messiah would appear.  I imagine most Jews expected him to arrive with the armies of heaven, and quickly remove their Roman rulers in one fell swoop.  I don’t think anyone expected the Messiah to come as a baby, born to humble parents in a stranger’s barn.  Jesus would have to sneak into the world he had created, but which was now being ruled by Satan.  

God didn’t announce Jesus’ birth with trumpets and fanfares.  Only his mother and earthly father knew there would be something supernatural about their child.  We see why in Matthew’s story of the wise men.  God had somehow revealed to men in another country that a new king was to be born in Israel, and that this was something exceptional with worldwide and lasting effects.  They traveled a great distance to see this new king and pay their respects, and naturally went to the king’s palace in Jerusalem.  Where else would a new king be born but in a king’s palace?

King Herod was caught off guard, but managed to point the wise men toward Bethlehem, asking them to find the child and report back, so that he could also worship the new king.  Then he ordered his army to kill every young child in that district.  Jesus had come to invade Satan’s kingdom of darkness and redeem his creation, and Satan intended to fight back.  But not being omniscient, Satan didn’t yet recognize Jesus, and didn’t know who to fight.

Sidebar:

At this point, Satan only knew that God was doing something new.  He didn’t know who Jesus was, and couldn’t identify the baby, so he had Herod kill all the kids in the area.

Satan eventually learned Jesus’ identity when Jesus was baptized.  Satan realized who Jesus was, and that God called him his son, in whom he was well pleased.  But he still didn’t know why Jesus was here on earth.  So Satan met him in the wilderness to test Jesus – I think to try to determine why Jesus had come.  Satan was probing Jesus for information, but I think all he learned was that Jesus wouldn’t be playing by his rules.

Satan had no way to know what God was planning or doing beyond what he could read in the same scriptures the Jews had in Jesus’ day.  He knew a Messiah was coming, but the word Messiah simply means “God’s anointed one”; Satan wanted to know what Jesus had been anointed to do.  The gospels support this view, since whenever Jesus encountered a demon possessed person, their interaction went something like this encounter in Mark:

Suddenly, a man in the synagogue who was possessed by an evil spirit cried out, “Why are you interfering with us, Jesus of Nazareth?  Have you come to destroy us?  I know who you are – the Holy One of God!”

Mark 1:23-24 NLT

In nearly every recorded case, the demons recognized Jesus but then asked him why he was there.