It's all to do with angles and how differnt it is to what a right handed leggies does.
It starts at grassroots, i know from experience that kids who come out showing thier intent to follow "Warnie," and do have slightly skill are always pushed to go orthodox as its a lot easier to coach. I was pushed to bowl SLA, and i became pretty good at it, but once you've done it, you may as well try it coming out of the back of the hand, thats how i got my breakthrough into bowling it.
You need to understand that for a RH Legspinner its easier, because he's prodominately bowling to RHB therefore the angles are made a lot easier, and getting wickets is easier. (Still difficult, but easier)
For a LH Legspinner, or Unorthodox spinner, its difficult because if you look at a cricket team of 11, its quite often you find one or two LH BATSMEN, and maybe 1 or 2 TAILENDERs. So immediately you're at a disadvantage, as you've got to keep going in unnatural places to bowl, either cutting right across the wicket and getting up close and excited with the stumps, or you've got to bowl from so far across the crease that the Umpire is a dot to you. Obviously i'm overexagerating but its true, theres no middle ground when bowling to the RH Batter, but for a LH Leggie bowling to a LH batsmen, thats where the tricks come in and you can imagine your "Warnie."
It looks weird. That is a main reason
It looks unorthodox, thats why its given that name. If something is unorthodox, its un-natural.