Because they (Daesh) claim that their government is "Islamic State", but they consider most of Muslims as polytheist or infidel, and on the other hand, the majority of Muslims all over the world consider them to be fake Muslims.
We face with two facts:
On the one hand they (Daesh) are known in the media as "Islamic State", so in order to talk about them one will inevitably call them "Islamic State". On the other hand, they are not really an "Islamic State" (not Islamic nor a state), so one cannot call them "Islamic State".
As a result, one calls them the so-called "Islamic State".
Update: this part is explanation of "they are not really Islamic State". In fact this is my deleted comment that answers a deleted comment that call Daesh as "strict Islam":
No. They are not "strict Islam". It's cartoon of Islam, not strict Islam. They read only war verses of Quran, not verses like:
Say, "O People of the Scripture, come to a word that is equitable between us and you - that we will not worship except Allah and not associate anything with Him and not take one another as lords instead of Allah. But if they turn away, then say "Bear witness that we are Muslims.
...nor verses like...
There shall be no compulsion in acceptance of the religion. The right course has become clear from the wrong.
They also don't consider many other verses that forbid killing people. The Qur'an as a book should be taken as a whole.