Heavy cream makes pudding rich and dense. Greek yogurt is thinner and more acidic. Acid can mess with gelatin or cornstarch’s thickening power.
Weird fact: Greek yogurt is actually made by straining regular yogurt. You’re removing the watery whey. That’s why it’s thicker. But it’s still not “cream” thick.
To fix this, add more thickener. Or use yogurt as a topping, not a base. Dollop it on fruit or pancakes. It’s lazy but brilliant.