RADIUS client is named "server" in GUI?

Correct me if I’m wrong but if User Manager is MikroTik’s RADIUS server implementation and RADIUS menu entry is used to create RADIUS clients

Why is the window named “New RADIUS Server” then?

Fully written out it could be “New RADIUS server connection”.
You are not adding a new RADIUS server to this device, but an extra connection to a RADIUS server … “New connection to New RADIUS server”.

The connection is new, the RADIUS server may have been unknown to this router (aka New), or just be another connection to an already connected RADIUS server.

Agree, it would make sense but still, the name “client” seems to be standard naming of this functionality?
https://learn.microsoft.com/en-us/windows-server/networking/technologies/nps/nps-radius-clients
Even MikroTik names it RADIUS client in their tutorials:
https://help.mikrotik.com/docs/display/ROS/IPsec#IPsec-RoadWarriorsetupusingIKEv2withEAP-MSCHAPv2authenticationhandledbyUserManager(RouterOSv7)
and then you open the menu and it says “New RADIUS Server”

Yes : “add a new RADIUS server for this local RADIUS client”, this is not “create a new RADIUS client” or “create new RADIUS client interface”.
There is only one RADIUS client in ROS. The RADIUS client defined in HELP:
“The MikroTik RouterOS has a RADIUS client that can authenticate for HotSpot, PPP, PPPoE, PPTP, L2TP, OVPN, and ISDN connections”.
They forgot the newer “wifi EAP” in the help.

There can be one or more definitions added for every service and every called id. Every definition can point to a “new” RADIUS server.

The RADIUS tab in WinBox or Webdig is for configuring the one and only Radius client. The page title could indeed be more precise : “New Radius Server Connection”, and it is for one or more services of the one and only RADIUS Client