Why do we "roll" the car windows down, instead of "slide"

Rolling implies rotation and translation. Cranking implies the motion people used to do before power windows and Sliding is what actually happens to the window.

When and why did people start using the expression "roll the windows down," instead of something more descriptive?

I think the answer is in your question; rolling was the motion applied to windows before power windows. They did not physically apply force so as to directly slide them down, i.e. pushing them down with their hands, instead, they rolled (rotated) the lever, which in turn caused the windows to raise/lower. It is simply the description of the actual force being applied, not the effects of said force.

It's a reasonable puzzle and baffled me as a child.

As you say rolling is rotation and translation. Rolling up however means winding something round a spool by rotating the spool (or winding the thing round the spool). Sometimes the spool will be translated, but usually it will be fixed. An efficent way of rolling something up is to crank a winch (using the law of the lever). Ropes on boats are rolled up this way. So it’s plausible that rolling something up became synonymous with turning a crank, even in cases where nothing was wound around a spool. And rolling something down became the opposite action.