Burst actually doesn't inherently mean the power targets every enemy - it means the power covers, in some way, the area of the burst. (Close bursts are bursts centred around the caster.)
Bursts are used in a few different ways, and do not by default target everyone (or necessarily anyone) inside them. For instance, the Cleric has the level 16 Hallowed Ground utility power which uses a close burst to create a zone of protection - the close burst doesn't target anyone, it's just used to define the area for the zone.
If a burst power does target everyone in it, it'll say so with a target line like: Each enemy in the burst, or Each creature in the burst (which would include allies and enemies).
In the case of Infernal Wrath, it simply targets a triggering enemy within the burst.
Why a close burst 10 if it's only targeting one creature?
To give it a range of 10 whilst avoiding downsides of ranged powers: if they'd made this a Ranged 10 power instead, it would trigger opportunity attacks. Close bursts don't trigger opportunity attacks since they aren't ranged attacks, so they chose to make it Close Burst 10.
This also affects the feats that can apply, and the designers may have consciously considered that. Being a close burst means feats that affect close bursts are allowed to work here, whilst feats such as those that would affect ranged powers don't work.
If the trigger line and "close burst 10" line both state the range, isn't that redundant?
This confused me at first, but they actually serve different purposes.
- The trigger line defines the initial range to which the spell can react: 10 squares. It might seem like they could simplify it by saying "An enemy within the burst hits you", but at the time the power would be triggered, there is no burst yet.
- When you use the power, the Close Burst 10 is then created, defining the area the power can affect: conveniently, it covers all spaces from which the spell could possibly have been triggered. The enemy who triggered the power in the first place is chosen as the target.