In the context with which I am familiar, it means that a problem, solution, situation, idea, whatever, appears somewhat simple at first glance. However, when you start to look at the details below the surface, you’re sure to run into a headache of complexities, complications, trouble, bothersome tasks, etc.
In other words, I don’t think the proverb has anything at all to do with the devil, “Satan.” At least, in modern usage it doesn’t.