I liked this question because I had never thought much about it. However, it's not such a mistery because the answer is in the Wikipedia “radical” page:
Historically, the term radical was also used for bound parts of the molecule, especially when they remain unchanged in reactions. These are now called functional groups. For example, methyl alcohol was described as consisting of a methyl "radical" and a hydroxyl "radical". Neither are radicals in the modern chemical sense, as they are permanently bound to each other, and have no unpaired, reactive electrons. However, they can be observed as radicals in mass spectrometry when broken apart by irradiation with energetic electrons.
So, the free in free radical was originally used to distinguish it from a radical bound to a carbon skeleton.
Digging into historical chemistry texts reveals that “free radical” becomes really widely used around 1930:
However, some quotes for earlier works use it, though it does not appear so frequently that it may be considered a common expression… i.e. it is at that time simply the juxtaposition of the adjective free with radical, which is then synonymous with group (or today's noun substituent). For example:
“This hydrocarbon was formerly supposed to be the free radical of the methyl group, but no methyl compounds have in any way been derived from it, whilst by the action, of chlorine upon it, ethyl chloride is obtained as the product” (1870, Lessons in elementary chemistry)
“Although, however, the free radical methylene is unknown, many of its compounds have been prepared, of which some, such as the haloid ethers, &c.” (1884, A Treatise on Chemistry, Henry Enfield Roscoe and Carl Schorlemmer)
Though more quotes could be dug and provided, the ones I've read support this idea that free radical initially meant “the chemical group as a molecule by itself”.