I guess the reason is that there is a lot of documentation and other material they need to update, and they have not come around to change all yet. Many such pages provides way to submit feedback, or even make edits to the material (They will review the edits before they are published.)
I will suggest that in the material you produce that you mention that Azure Active Directory is an older name, and it still appears in some documentation, and you should tell the students that it they should consider AAD and Azure Active Directory as synonyms.
This is not only with regards to Microsoft documentation. There are many of us who have AAD engraved deep in our minds, so students absolutely need to know this term, as they may encounter it both here and there for the next few years.