Clarification on terminology : RF Signal
I can not tell you how this norm originated but what I can tell you is the benefits of this norm. Some of the points mentioned here are already mentioned in comments.


When we term an analog electrical signal as RF signal, things that immediately pop up in mind are i) the signal is a high-frequency signal ii) the signal is either being transmitted or received at some later or former circuit stage and iii) the SNR for this signal is going to matters a lot. To satisfy/comply with these requirements for RF signal, we take into consideration RF parameters like IIP3, impedance mismatch, S parameters, noise figure and start analyzing the circuit through these parameters. So point is, terming a signal RF signal gives a lot of insight about the signal.



  When I see RF I always visualize an Electro-magnetic wave. Then why is it used for electrical data?



Exactly the point, it's there to force you to visualize it as an EM wave propagating through the channel(which consists of various circuit stages and conductive traces). So that you will treat it as wave and take care of parameters which matter.


Digital electrical signal will not be represented as rf signals, even if they are operating at a very high frequency (e.g. 2.4 GHz). This is because distortion in digital signals due to channel is not going to cause significant degradation in SNR and even with somewhat higher SNR degradation, it's possible to retrieve data properly in case of digital signals. So is not the case with RF signals(which are analog in nature). The factors which affect RF signals to high degree matters to digital signals or to any low-frequency electrical signal to less extent.