I think it's wrong to call them that... I thought the same thing about the Cleveland Browns, except that in the Browns case, one of the terms of the existing Browns moving to Baltimore was that they rename the team and the rights of the name would stay with the city. The rights of the Jets name transferred with the Coyotes to Phoenix, but now that the league controls the Coyotes, they had the right to transfer it back to the new Winnipeg franchise.
They should have been called the Moose or something along those lines. They don't have the lineage of the previous Winnipeg franchise and shouldn't be associated with that name. But that's just my opinion on the subject.