The name of the game probably comes from dolphins echolocation ability. Another explanation I like to entertain is that the name is a reference to John C Lilly. He was a scientist who believed in an alien organization called the Earth Coincidence Control Office or E.C.C.O. He also studied dolphin intelligence and communication. He gave dolphins LSD in an effort to communicate with them. John C Lilly is an interesting rabbit hole to go down.

My favorite aspect is the music, I regularly listen to the OST while working: https://youtu.be/tqMuvFEKCOk

I've played a decent amount (never finished it), but I never understood why people say it's a horror game?

It really is a game with a strange mix of aesthetics. Blue skies and bright colors in the early levels; suspense and dread and supernatural stuff in the later levels.

Another Ed Annunziata game called Three Dirty Dwarves is also stylistically unique.