sketch is inhereted from processing, if you look arduino and processing share the same "ide" cause arduino used processings "ide". processing likes to share itself as not really a programming language (java is the language) but rather a interactive visualization authoring system so sketches kind of make since ... why the arduino team never changed it is beyond comprehension but they also have a notion of the arduino being for artsy folks.
cant be too critical, after years they finally changed the file extention from pde (Processing Development Environment) to something different so maybe in version 5 or something it will be called project or script or unicorns I dunno.
Theres this whole thing around some people involved that scary things such as code, or daughterboard (or folding code with freakin line numbers) is scary for people specifically coming to arduino to learn code and or electronics, my advice is to ignore it, learn the two or three cute words for when people mention them (I swear one more person says the ping ...) and enjoy all the finer things about the system and community