The piece sounds lovely, why did he name it "Wrong Note"?
Chopin did not personally give the etudes these names. Instead, these were names given later (whether by audience members, critics, etc.). I haven't been able to determine who gave this etude the name "Wrong Note," but it certainly wasn't Chopin; in fact, he hated when people gave his pieces names.
And you're right, the piece does sound lovely! But the name comes from the opening section:
Notice how the bottom voice of the right hand plays a non-chord tone for a sixteenth note before moving to another tone that fits into the chord. This is what gave the etude the name; it's almost as if the pianist is intoxicated and plays a wrong note on each chord before quickly fixing it.