Unloading a scene is async, which means we get at least one repaint of the scene before the objects are destroyed. This repaint will reload any neeeded material assets, which is what is happening here.
So the unloading of the material needs to be delayed otherwise the material will be reloaded on the next repaint.

This can be fixed using a coroutine like this:

public class Tester : MonoBehaviour
{
// This can used manual testing
[MenuItem("Bug/Unload Unused Assets")]
static void UnloadUnused()
{
EditorUtility.UnloadUnusedAssetsImmediate();
}

void Start()
{
SceneManager.LoadSceneAsync("Scenes/Test01", LoadSceneMode.Additive);
SceneManager.LoadSceneAsync("Scenes/Test02", LoadSceneMode.Additive);
}

public void Unload()
{
var go = GameObject.Find("Cube");
var r = go.GetComponent<Renderer>();
var mat = r.sharedMaterial;

var scene = SceneManager.GetSceneByName("Test01");
SceneManager.UnloadSceneAsync(scene, UnloadSceneOptions.UnloadAllEmbeddedSceneObjects);
StartCoroutine(ExecuteAfterTime(0.1f, mat));
}

IEnumerator ExecuteAfterTime(float time, Material materialToUnload)
{
yield return new WaitForSeconds(time);

// Code to execute after the delay
Debug.Log("Unloading asset");
Resources.UnloadAsset(materialToUnload);
}

}