The word "alicorn" is taken from Latin, just like "unicorn" – the word arises from the words "unum" and "cornus", Latin for "one" and horn"; "unicorn", therefore, means "one horn". "Alicorn" comes from the words "alae" or "aliger", meaning "wings" or "winged", and "cornus". That means that "alicorn" loosely translates to "winged horn".
My conjecture, based on the etymology of Alicorn, is that the Alicorn Amulet is called that because it depicts a winged unicorn. It is true that Alicorn also refers to the substance of unicorn horns, but it seems kind of like baseless conjecture that the name means that the Amulet is made of unicorn horns. Not only that, but based on the use of "Alicorn" by the series itself and the writers to refer to ponies with both wings and a horn (like Celestia, Luna, Cadence and Twilight) the naming of the Amulet based oni its appearance seems more likely to me than based on its composition.

What if its a double meaning? What if it was created by an evil Alicorn who use horns from other Alicorns to create the amulets?