Why is "material implication" called "material"?

"Material" highlights that the relationship between $P$ and $Q$ in the notation $$P\rightarrow Q$$ is not causal. For more insight, see https://en.wikipedia.org/wiki/Material_conditional

Only historical origins... in fact, there is no "immaterial" implication.

The term material implication originated with Bertrand Russell, The Principles of Mathematics (1903); see Part I : Chapter III. Implication and Formal Implication for :

• Two kinds of implication, the material and the formal.

See in Whitehead and Russell Principia Mathematica the "horseshoe" ($⊃$) notation.

In the "material" case it is used as a connective between propositions :

*1.2 $ \ \ ⊢ : p \lor p . ⊃ . p$,

while in the "formal" usage it is a relation between propositional functions (the symbolic counterparts of classes) :

*10·02 $ \ \ φx ⊃_x ψx . = . (x). φx ⊃ ψx$.

While "implication" for "conditional" ?

Again, see :

• Alfred North Whitehead & Bertrand Russell, Principia Mathematica to *56 (2nd ed - 1927), page 7 :

"implies" as used here expresses nothing else than the connection between $p$ and $q$ also expressed by the disjunction "$\text {not-}p \text { or } q$" The symbol employed for "$p$ implies $q$" i.e. for "$\lnot p \lor q$" is "$p ⊃ q$." This symbol may also be read "if $p$, then $q$."

Unfortunately, Russell is mixing here two concepts : the connective "if..., then..." and the relation of (logical) consequence (in this, following his "maestro" : Giuseppe Peano, that introduced the symbol $a ⊃ b$ reading it (1889) as "deducitur").

It is worth noting that G.Frege, in his groundbraking Begriffsschrift (1879) called the connective symbolizing "if...,then..." : Bedingtheit (tranlated into in English with Conditionality).

See also Implication and Modal Logic.