You know how sometimes classical composers name their pieces 'Study in _____ (insert key here)' ?

My question is, why exactly do they call it a "study"? Is it because they wrote it to study something in the music or something?

A lot of the time they were intended as practise for students. Later on it became common to call them etudes or studies if they were pieces focused on one aspect of the instrument (usually piano). So in short, yeah they were intended as study pieces, but more often than not for technique.
I don't know that many pieces called Study. But there are lots of etudes, which are basically "studies" on a particular technical aspect of the instrument. Like maybe a specific tricky bowing, or hard to reach intervals, or whatever.

Trivia: Penderecki's Threnody was originally called "Study for Strings" (it's a actually a sonata form). But someone said it sounded like a nuclear explosion so he changed the title.

...modes and scales are still useless.

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