Why is 'hell' considered a curse word?
Solution 1:
Today in English most taboo or "curse" words have to do with sex or scatology in some way. However, this was not always the case.
It turns out that up until about the time of WWI blasphemy, the inappropriate use of religous terms, was much more taboo than today. Most "curse" words in common use at that time would have been of that nature. "Hell" is often used today as a holdover from that time. For instance, in the USA it is allowed on broadcast TV, so is sometimes used as a placeholder for modern profanity which is not allowed.
One can speculate that the taboo is related to the Judeo-Christian prohibition against taking the Lord's name in vain (second or third of the "10 Commandments", depeding on your sect). Some people have been known to interpret that commandment very broadly. So in a society where nearly everyone is Christian or Jewish, one can see where a taboo like this might develop.
The writers of Deadwood actually researched this extensively. Books they used for reference were Richard A. Spears’s Slang and Euphemism and Ashley Montagu’s The Anatomy of Swearing. So if you'd like to learn more, those may be good references for you as well.
Solution 2:
"Hell" is, more or less, used as a literal curse associated with death, dying and/or eternal damnation. "Damn" also made that short list of examples and comes from a similar topic. The typical example:
Damn you to hell!
Furthermore, there are an entire set of profanities based around the concept of "blasphemy". From Wikipedia:
The term "profane" originates from classical Latin "profanus", literally "before (outside) the temple". It carried the meaning of either "desecrating what is holy" or "with a secular purpose" as early as the 1450s CE. Profanity represented secular indifference to religion or religious figures, while blasphemy was a more offensive attack on religion and religious figures, considered sinful, and a direct violation of The Ten Commandments.
To answer your question directly, "hell" is considered a profanity because it is (or was) frequently used as a curse and it is (or was) considered blasphemous.
Solution 3:
Mr Hen is correct. To expand on his answer: There are words that are taboo because they relate to sex, ones that are taboo because they relate to excrement, and ones that are taboo because they relate to religion. The last category is a little different, because the shock value comes from a sacred concept being used in a profane context, rather than from the word itself being profane.
To answer the question of why "hell" isn't censored on the radio: The taboo around profane use of religious terms has relaxed in recent years --probably due to there being less general reverence towards religion in general. All curse words draw their power from the larger social context. When something becomes less taboo in society, it becomes less shocking as a curse.
There is also the factor that religious words are only profanities when moved out of their proper context --which makes it harder to censor them effectively, since it would require a judgment of context in each case.