Why are some journals for research papers called “review”?
Among the various meaning of review, the Oxford English Dictionary reports (2.1):


  [OFTEN IN NAMES] A periodical publication with critical articles on culture and current events: 
  'the New Left Review'


A similar definition can be also found in the Random House Webster's, 2nd ed., (on paper):


  A periodical publication containing articles on current events or affairs, books, art, etc.


The above definitions do not seem to imply journals publishing only review papers in the common scientific sense. 

The Online Etymology Dictionary yields for review (bold mine):


  mid-15c., "an inspection of military forces," from Middle French reveue "a reviewing, review," noun use of fem. past participle of reveeir "to see again, go to see again," from Latin revidere, from re- "again" (see re-) + videre "to see" (see vision). Sense of "process of going over again" is from 1560s; that of "a view of the past, a retrospective survey" is from c. 1600. Meaning "general examination or criticism of a recent work" is first attested 1640s.


I think that journal papers can be considered "examinations of a recent work", that is, a review in the sense highlighted above.

It is worth noting that this usage of the noun review to denote a periodical publication is widespread also in other languages: in French, with the word revue, and in Italian with the word rivista. The note at the top of the last link says (lousy translation mine):


  nel sign. di «periodico» è modellato sul fr. revue, che a sua volta
  ricalca l’ingl. review
  
  (with the meaning of "periodical", the term is modelled on the French
  revue which, in turn, follows from the English review)