At first glance, it seems confusing for Billy's Champion avatar to come out the grave when his mortal body was buried. However, given he was resurrected by the same staff that gave him the powers of Shazam in the first place, it's not that hard to imagine he got transformed by it during the resurrection.
Of course, the three sisters started really arguing with each other once a golden apple is added to the mix.
Anthea among other things is the goddess of human love, so (of course) she'd fall for one, as she's naturally predisposed to having a soft spot for them.
