They're not poisonous or anything, so it can't be aposematism. As far as I know it doesn't come from diet like the flamingo. They're not apex predators, so they can't get away with it (like tigers), and honestly it seems like a big risk factor given how many species prey upon them. As well as something that would make hunting more difficult for them. I understand they prefer dense brush, and I think hunting during low light hours, but orange against green is about as starkly contrasting as it gets. So does that just leave sexual selection? One of their sexes thinks it's pretty, basically? Or is there some other reason for it, one that might have something to do with the rest of the odd coloring?
The difference between the name and reality is a linguistic rather than a biological issue. The word "orange" is a relatively modern English word. In the past "red" would have been a term applied to other creatures which are also the same colour, the "red" squirrel for instance, along with people with copper coloured hair who are said to are "redheads" and not "orangeheads".