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.
The names are not given by Chopin.
I think wrong note doesn’t refer to wrong sound for modern listeners and the romantic era. It means false note and refers to the musica ficta, as all these chromatic notes with short values - the lower 16th in the r.h. - are non-chord tones:
Musica ficta (from Latin, "false", "feigned", or "fictitious" music) was a term used in European music theory from the late 12th century to about 1600 to describe pitches, whether notated or added at the time of performance, that lie outside the system of musica recta or musica vera ("correct" or "true" music).
Of course the chromatic approaches are notated - but Chopin could have added at the time of performance when improvising, and later he wrote them down, they are doubtless that lie outside the system of musica recta.