Why did Arjuna question the Supreme Lord?

The fact is that Arjuna is not inquiring for himself but for those who do not believe in the Supreme Personality of Godhead or for the demons who do not like the idea that Krishna should be accepted as the Supreme Personality of Godhead; for them only Arjuna inquires on this point, as if he were himself not aware of the Personality of Godhead, or Krishna.
 
As it is evident from the Tenth Chapter of 'Bhagavad Gita As It Is', Arjuna knew perfectly well that Krishna is the Supreme Personality of Godhead, the fountainhead of everything and the last word in transcendence. 
 
Of course, Krishna also appeared as the son of Devaki on this earth. How Krishna remained the same Supreme Personality of Godhead, the eternal original person, is very difficult for an ordinary man to understand. Therefore, to clarify this point, Arjuna put this question before Krishna so that He Himself could speak authoritatively. 
 
That Krishna is the supreme authority is accepted by the whole world, not only at present but from time immemorial, and the demons alone reject Him.
 
Anyway, since Krishna is the authority accepted by all, Arjuna put this question before Him in order that Krishna would describe Himself without being depicted by the demons, who always try to distort Him in a way understandable to the demons and their followers. It is necessary that everyone, for his own interest, know the science of Krishna. Therefore, when Krishna Himself speaks about Himself, it is auspicious for all the worlds. To the demons, such explanations by Krishna Himself may appear to be strange because the demons always study Krishna from their own standpoint, but those who are devotees heartily welcome the statements of Krishna when they are spoken by Krishna Himself. The devotees will always worship such authoritative statements of Krishna because they are always eager to know more and more about Him. The atheists, who consider Krishna an ordinary man, may in this way come to know that Krishna is superhuman, that He is 'sac-cid-ananda-vigraha' —the eternal form of bliss and knowledge—that He is transcendental, and that He is above the domination of the modes of material nature and above the influence of time and space. 
A devotee of Krishna, like Arjuna, is undoubtedly above any misunderstanding of the transcendental position of Krishna. Arjuna’s putting this question before the Lord is simply an attempt by the devotee to defy the atheistic attitude of persons who consider Krishna to be an ordinary human being, subject to the modes of material nature. Lord Krishna is 'Isvara' or the Ultimate Controller and Supreme Ruler of all creation, time and action. He alone is the ultimate reality and highest destination who incarnated in the family of Vasudeva in order to remove the speculations of those whose minds were made impure by tendency to sinful activities as well as to eradicate the demoniac elements present who were polluting the Earth. The question was asked so Lord Krishna could confirm the truth Himself regarding His transcendental appearance and supra- mundane phenomenal exploits that the miscreants and non-believers refuse to except as being possible for the Supreme Lord. By questioning God and after receiving His answers, all doubts would be cleared up about Lord Krishna’s supreme position.
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