Renaming SKM files does NOT rename the material they contain.
This is set up within the SKM, which is actually a ZIP file… e.g.
The ‘ref’ folder contains any associated texture image file.
The ‘thumbnail’ is just that.
The two document ‘xml’ files contain references to the material’s name and any image file nested with it etc.
If you have one or two SKM files, then you could do it manually.
Alternatively, if you have a lot to process, you probably ought to rename all of the materials within your SketchUp model’s Materials Browser, and then save all of them into a new collection of SKM files.
The new SKM files will then properly reflect the materials’ names within their SKM file names…