The "Se" in "Sesotho" does not mean "language." It is a noun class marker which is an inalienable part of the morphology of the word. That's simply the way the word looks.

For example, "education" is derived from "educate" through a change in morphology. The change implies that the word is a noun, but it is not valid to simply use the root without the suffix.

"-sotho" is a root, which is made meaningful with class markers (Sesotho, Basotho, Lesotho, etc).

The "Se-" marker in this case does indicate language, but the class has many other types of nouns.

seponesa the police force
sefofu blind person
sefate tree
seanamarena traditional blanket
sekgathe verbal tense
etc.

So yes, it is a tad complicated...

 TheWHO!!??