Okay. Real Talk here. I don't know why, but I'm imagining Dio being like this Gaston styled Hunter of centaurs, and now I'm just wondering how Jona will react!
My headcanon was worse xD I imagined Dio was a satyr. But he is jealous of Jonathan who is so strong and impressive. So he kills him and switches lower bodies with him and becomes a centaur. Then when he makes Giorno he is sort of a deer centaur due to the goat and horse mixing??? I made this headcanon because @badlydrawngangstar and i were discussing what giorno would be in the event if she had the time.
but your headcanon is more nice to Dio. and much more cool I think. Jonathan would probably take it upon himself to kill Dio, as he doesnt want his fellow centaurs to be hunted down, and by a puny human no less.-destiny