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As far as we're aware, dark matter only interacts with the universe gravitationally. It doesn't even interact with itself, which is why we don't see dark planets/stars/galaxies popping into existence. It only follows normal matter around.

As for why it's not called cold, is for two reasons:

1. Cold gases of normal matter can condense to form stars. Dark matter doesn't interact with itself, which implies it cannot condense into more concentrated forms of itself the way a gas cloud can eventually form a star.
2. We just don't know what the stuff is, it could be clouds, planets, black holes, neutron stars, brown dwarfs, etc. But our best observations of dark matter are from very large distances away where we can measure the distortion of spacetime due to dark matter. We can't see these smaller objects at these distances. But we should be able to see other clues that would indicate it's normal matter.

If it happened to be clouds of gas and dust that overall had a net gravitational effect on the background galaxies, we'd be able to detect the spectral lines of these clouds. Same for just about all the other objects in that list. In some cases we do detect intergalactic gas clouds. But in places where there's very clearly unaccounted for gravitational lensing, there isn't any sign of this. So far the only things we can match up to the observations is a mathematical model of the stuff.

No, because those would also interact with other things like electromagnetic radiation, light, etc. Dark matter only interacts with normal matter via gravity.

Dark matter is admittedly a bit of a misnomer but that's what everyone's been using for years 🤷🏻‍♂️