Cavalry is both a reference to them being mounted/riders and working with it being generally a military term. So its a reference to their bikes, the modern day steed and the military background. Adding in 'Black' gives them the sound of danger of threat. They might be a SOA inspired gang that does some good, they are still an Outlaw groups that runs guns and isn't afraid to use violence or murder to protect themselves or business. On another side like so many other group names, it just sounds interesting.