While thunder is indeed the delayed after-sound of lightning, that sound still has a name. Every thing, action, and behavior has a descriptive name attached to it that may or may not match the name its cause. For example, hearing a human speak is the same as hearing a human. But the sound of what humans make still has a title: "Voice". Furthermore, keep in mind that lightning has the potential to make several sounds besides thunder. Say, the "strike" of lightning for example. Simple point is that everything is always going to have an adjective or descriptive label to it. Distinguishing the sound that lightning makes is convenient just for the sake of specific identification.
The most common source of Thunder just happens to be lightning. However, you can hear the Thunder of Niagara Falls, and the Thunder of an Engine. Your voice can even Thunder in protest. If we didn't call the sound of lightning Thunder then we'd lose a word that conveys a much more powerful word, and have to use a mediocre word like roar. Our language would loose the fidelity a bit of fidelity, and I wont stand for that.
What's the point in making a distinction between the word lightning and thunder? We don't need a separate word for the sound that lightning makes. If a car were to drive by, and you sensed it, it would be perfectly acceptable to say "I see a car", or "I hear a car". However, when it comes to lightning, it is for some reason not acceptable to say "I see lightning" and "I hear lightning". People will very quickly correct you and condescendingly say "You mean you see lightning and you HEAR thunder". If lightning is the noun for the actual object, why should the name of it change depending on what sense you are using to detect it?