What is magnetic entropy change? For my knowledge, I know entropy is randomness or disorder. So here that magnetic refers to the magnetic dipole moments?

Many materials contain microscopic paramagnetic moments which are free to randomly orient themselves in zero magnetic field. If you apply a magnetic field, then the magnetic moments are able to lower their energy by entering a lower entropy state where they are magnetized.

In such a material the entropy tends to decrease as magnetic field increase, at least when it is able to give away entropy to its environment. (If not able, the magnetic moments will get hot instead.)

This effect is important in magnetic refrigeration because the reverse is also true: a paramagnetic material tends to absorb entropy as the field is decreased.