This is a matter of style, really: there are no "rules", although you do have prominent "style guides" to (optionally) follow.
My take on it is that if you wrote the following:
in his poem, Les Amours des Dieux (The Loves of the Gods), ...
ie, with the parenthesised section in italics as well, that risks making the reader think that the parenthesised section is part of the title, rather than just a translation of it. The version as you have it in your question is therefore clearer and less ambiguous: it tells us that the title is "Les Amours des Dieux", and then adds some extra information for the reader in the brackets (ie the translation of the title for those who don't happen to speak French).
BTW, the translation is not "also the title of the poem". That would be like saying the poem has a different title for every language in the world, when it actually only has one title, the one the author gave it. All text could be translated differently, and so one person's English translation does not have the same status as the original title.