Partly, source morphology. Partly, mediation via Latin. Partly, particularity of English.
Remember first that Classical names in English came in via Latin most of the time. Hence Plato rather than Platon, and Hercules for Heracles.
Second, not all final -ns are the same. So there’s no contradiction about Latin keeping the final -n in Xenophon and not in Plato.
Third, English chops off more final inflections in Latin names, though less than French and (sometimes) German. That I don’t know as much about, but it’s partly to do with how the languages developed (French), and partly just random change.
So English avoids final –anus, and so does French (where English got the names from). So the names have the same ending as the corresponding adjectives, which have the same original suffix in Latin: Octavian, Vespasian, just like Christian < Christianus, quotidian < quotidianus. English and French have done the same with Latin names ending in –alis: we say Martial and martial, both of which are Martialis ~ martialis in Latin.
German does the same with –tus names, changing them to –t: German Herodot, French Herodote, English Herodotus. English does this with Theodoret, but not generally.